Closed-form valuations of basket options using a multivariate normal inverse Gaussian model (Q1003824)
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scientific article; zbMATH DE number 5523260
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form valuations of basket options using a multivariate normal inverse Gaussian model |
scientific article; zbMATH DE number 5523260 |
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Closed-form valuations of basket options using a multivariate normal inverse Gaussian model (English)
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4 March 2009
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normal inverse Gaussian
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basket option
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Esscher transform
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time-changed Lévy process
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