Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (Q5745541)
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scientific article; zbMATH DE number 6252430
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes |
scientific article; zbMATH DE number 6252430 |
Statements
Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (English)
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30 January 2014
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Appell hypergeometric function
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digital options
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Esscher measure
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European call and put
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normal-inverse Gaussian process
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