Pricing of basket options using univariate normal inverse gaussian approximations
Year of publication: |
2011
|
---|---|
Authors: | Benth, Fred Espen ; Henriksen, Pål Nicolai |
Published in: |
Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 30.2011, 3, p. 355-376
|
Publisher: |
John Wiley & Sons, Ltd. |
Subject: | normal inverse Gaussian distribution | approximation | moment matching | basket option | simulation |
-
Computational Efficiency and Accuracy in the Valuation of Basket Options
Wang, Pengguo, (2009)
-
Machine tool simulation based on reduced order FE models
Faßbender, Heike, (2011)
-
Decision tree vs simulation to determinate minimal maintenance costs in IT industry
Friebel, Ludvík, (2012)
- More ...
-
Pricing of basket options using univariate normal inverse Gaussian approximations
Benth, Fred Espen, (2011)
-
Pricing of basket options using univariate normal inverse gaussian approximations
Benth, Fred Espen, (2011)
-
Pricing barrier options by a regime switching model
Henriksen, Pål Nicolai, (2011)
- More ...