A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
DOI10.1142/S0219024906003810zbMATH Open1138.91420OpenAlexW1996697006MaRDI QIDQ5487828FDOQ5487828
Authors: Fred Espen Benth, Martin Groth, Paul C. Kettler 
Publication date: 12 September 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003810
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Cites Work
- On the distribution of points in a cube and the approximate evaluation of integrals
- Processes of normal inverse Gaussian type
- Hyperbolic distributions in finance
- Title not available (Why is that?)
- The normal inverse gaussian lévy process: simulation and approximation
- Sufficient conditions for fast quasi-Monte Carlo convergence
Cited In (6)
- Intrinsic objective Bayesian estimation of the mean of the Tweedie family
- An EM algorithm for multivariate NIG distribution and its application to value-at-risk
- Closed-form option pricing for exponential Lévy models: a residue approach
- Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
- Dimension reduction for pricing options under multidimensional Lévy processes
- Pricing of basket options using univariate normal inverse Gaussian approximations
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