A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES

DOI10.1142/S0219024906003810MaRDI QIDQ5487828zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingquasi-Monte Carloimplied volatilitynormal inverse Gaussian distributionNewton-Raphson method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 3310475 (Why is no real title available?)
• Hyperbolic distributions in finance
• On the distribution of points in a cube and the approximate evaluation of integrals
• Processes of normal inverse Gaussian type
• Sufficient conditions for fast quasi-Monte Carlo convergence
• The normal inverse gaussian lévy process: simulation and approximation

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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