KUDRYAVTSEV, OLEG; LEVENDORSKIǏ, SERGEI - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 915-949
We calculate prices of first touch digitals under normal inverse Gaussian (NIG) processes, and compare them to prices in the Brownian model and double exponential jump-diffusion model. Numerical results are produced to show that for typical parameters values, the relative error of the Brownian...