Article: article from journal or magazin.
On Asian option pricing for NIG Levy processes
Journal of Computational and Applied Mathematics
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.
Normal inverse Gaussian distribution, Esscher transform, Comonotonicity
Web of science
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