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

DOI10.1142/S0219493717500393zbMATH Open1370.60094MaRDI QIDQ4975320FDOQ4975320

Authors: Roman Ivanov, Grigory Temnov 

Publication date: 4 August 2017

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

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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)

Cites Work

• Financial Modelling with Jump Processes
• Processes of normal inverse Gaussian type
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Stochastic finance. An introduction in discrete time
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Inf-convolution of risk measures and optimal risk transfer
• On Asian option pricing for NIG Lévy processes
• On exact pricing of FX options in multivariate time-changed Lévy models
• The normal inverse gaussian lévy process: simulation and approximation
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• Approximation for the normal inverse Gaussian process using random sums

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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