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zbMath1199.91275MaRDI QIDQ3640175

Fuyan Luo, Zhen Jia

Publication date: 11 November 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

equivalent martingale measure normal inverse Gaussian distribution Esscher transform quasi-Monte Carlo simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Generalizations of martingales (60G48) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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