On Asian option pricing for NIG Lévy processes

Journal of Computational and Applied Mathematics

Volumn 172, Issue 1, 2004, Pages 153-168

  Albrecher, Hansjörg ^a   Predota, Martin ^a  

^a GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Comonotonicity; Esscher transform; Normal inverse Gaussian distribution

Indexed keywords

APPROXIMATION THEORY; COSTS; GEOMETRY; MATHEMATICAL MODELS;

NORMAL INVERSE GAUSSIAN (NIG); OPTION PRICING;

COMPUTATIONAL METHODS;

MATHEMATICAL METHOD;

EID: 4444239694     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2004.01.037     Document Type: Article

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