Explicit option valuation in the exponential NIG model
Jean-Philippe Aguilar
| Year of publication: |
2021
|
|---|---|
| Authors: | Aguilar, Jean-Philippe |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 8, p. 1281-1299
|
| Subject: | Lévy process | Normal inverse Gaussian process | Option pricing | Stochastic volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1856404 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012608646