Truncated moment-generating functions of the NIG process and their applications

DOI10.1142/S0219493717500393zbMath1370.60094MaRDI QIDQ4975320

Roman V. Ivanov, Grigory Temnov

Publication date: 4 August 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

option pricingHumbert seriesnormal-inverse Gaussian process Lévy processtruncated moment-generating function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

Related Items (2)

On risk measuring in the variance-gamma model ⋮ Option pricing in time-changed Lévy models with compound Poisson jumps

Cites Work

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• The Variance Gamma Process and Option Pricing
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
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