Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (Q5745541)
From MaRDI portal
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)
0 references
30 January 2014
0 references
Appell hypergeometric function
0 references
digital options
0 references
Esscher measure
0 references
European call and put
0 references
normal-inverse Gaussian process
0 references
