On Asian option pricing for NIG Lévy processes

DOI10.1016/j.cam.2004.01.037zbMath1107.91042OpenAlexW1984120483MaRDI QIDQ1883479

Martin Predota, Hansjoerg Albrecher

Publication date: 12 October 2004

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2004.01.037

zbMATH Keywords

Esscher transformComonotonicityNormal inverse Gaussian distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

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Cites Work

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• The normal inverse gaussian lévy process: simulation and approximation
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