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
Titre
On Asian option pricing for NIG Levy processes
Périodique
Journal of Computational and Applied Mathematics
Auteur⸱e⸱s
Albrecher H., Predota M.
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
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