PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES

DOI10.1142/S0219024906003834zbMath1138.91398OpenAlexW3125933995MaRDI QIDQ5487831

Oleg Kudryavtsev, Sergei Levendorskii

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/s0219024906003834

zbMATH Keywords

Lévy processesjump-diffusionsfast pricingnormal inverse Gaussian processesfirst touch digitals

Mathematics Subject Classification ID

Gaussian processes (60G15) Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES ⋮ A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes ⋮ Fast and accurate pricing of barrier options under Lévy processes ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS

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