Truncated moment-generating functions of the NIG process and their applications

DOI10.1142/S0219493717500393MaRDI QIDQ4975320zbMATH OpenFDO

Authors Roman Ivanov, Grigory Temnov

Publication date 4 August 2017

Published in Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

option pricingHumbert seriesnormal-inverse Gaussian process Lévy processtruncated moment-generating function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Stochastic processes (60G99)

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Cites work

• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 3231213 (Why is no real title available?)
• Approximation for the normal inverse Gaussian process using random sums
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• Financial Modelling with Jump Processes
• Inf-convolution of risk measures and optimal risk transfer
• Lévy Processes and Stochastic Calculus
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On Asian option pricing for NIG Lévy processes
• On exact pricing of FX options in multivariate time-changed Lévy models
• Processes of normal inverse Gaussian type
• Stochastic finance. An introduction in discrete time
• The Variance Gamma Process and Option Pricing
• The normal inverse gaussian lévy process: simulation and approximation

Cited in

(2)

• Option pricing in time-changed Lévy models with compound Poisson jumps
• On risk measuring in the variance-gamma model

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