On Asian option pricing for NIG Levy processes
Details
Serval ID
serval:BIB_03239236D150
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On Asian option pricing for NIG Levy processes
Journal
Journal of Computational and Applied Mathematics
ISSN
0377-0427
Publication state
Published
Issued date
2004
Peer-reviewed
Oui
Volume
172
Number
1
Pages
153-168
Language
english
Abstract
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.
Keywords
Normal inverse Gaussian distribution, Esscher transform, Comonotonicity
Web of science
Open Access
Yes
Create date
12/05/2009 10:55
Last modification date
20/08/2019 12:25