Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
type: Item
instance of: scholarly article
title: Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
zbMATH Open document ID: 1287.91142
DOI: 10.1080/15326349.2013.838509
author: Roman Ivanov
published in: Stochastic Models
publication date: 2014-01-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 33C65
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6252430
zbMATH Keywords: Appell hypergeometric function
zbMATH Keywords: digital options
zbMATH Keywords: Esscher measure
zbMATH Keywords: European call and put
zbMATH Keywords: normal-inverse Gaussian process
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/15326349.2013.838509
OpenAlex ID: W1968543838
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description: scientific article; zbMATH DE number 6252430