On Asian option pricing for NIG Levy processes
Détails
ID Serval
serval:BIB_03239236D150
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
On Asian option pricing for NIG Levy processes
Périodique
Journal of Computational and Applied Mathematics
ISSN
0377-0427
Statut éditorial
Publié
Date de publication
2004
Peer-reviewed
Oui
Volume
172
Numéro
1
Pages
153-168
Langue
anglais
Résumé
In this paper, we derive approximations and bounds for the Esscher price of European-style arithmetic and geometric average options. The asset price process is assumed to be of exponential Levy type with normal inverse Gaussian (NIG) distributed log-retums. Numerical illustrations of the accuracy of these bounds as well as approximations and comparisons of the NIG average option prices with the corresponding Black-Scholes prices are given.
Mots-clé
Normal inverse Gaussian distribution, Esscher transform, Comonotonicity
Web of science
Open Access
Oui
Création de la notice
12/05/2009 10:55
Dernière modification de la notice
20/08/2019 12:25