Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes

DOI10.1080/15326349.2013.838509zbMath1287.91142OpenAlexW1968543838MaRDI QIDQ5745541

Roman V. Ivanov

Publication date: 30 January 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2013.838509

zbMATH Keywords

normal-inverse Gaussian processdigital optionsAppell hypergeometric functionEsscher measureEuropean call and put

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Appell, Horn and Lauricella functions (33C65)

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Cites Work

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