On Asian option pricing for NIG Lévy processes
type: Item
instance of: scholarly article
title: On Asian option pricing for NIG Lévy processes
zbMATH Open document ID: 1107.91042
author: M. Predota
author: Hansjörg Albrecher
published in: Journal of Computational and Applied Mathematics
publication date: 2004-10-12T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G99
zbMATH DE Number: 2107322
zbMATH Keywords: Normal inverse Gaussian distribution
zbMATH Keywords: Esscher transform
zbMATH Keywords: Comonotonicity
MaRDI profile type: Publication
full work available at URL: j.cam.2004.01.037
OpenAlex ID: W1984120483
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DOI: 10.1016/J.CAM.2004.01.037
description: scientific article; zbMATH DE number 2107322