A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES

DOI10.1142/S0219024906003810zbMath1138.91420OpenAlexW1996697006MaRDI QIDQ5487828

Martin Groth, Paul C. Kettler, Fred Espen Benth

Publication date: 12 September 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003810

zbMATH Keywords

option pricingNewton-Raphson methodnormal inverse Gaussian distributionimplied volatilityquasi-Monte Carlo

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Pricing of basket options using univariate normal inverse Gaussian approximations ⋮ Intrinsic objective Bayesian estimation of the mean of the Tweedie family

Cites Work

• Processes of normal inverse Gaussian type
• Sufficient conditions for fast quasi-Monte Carlo convergence
• Hyperbolic distributions in finance
• The normal inverse gaussian lévy process: simulation and approximation
• On the distribution of points in a cube and the approximate evaluation of integrals
• Unnamed Item

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