43463

Автор(ы): 

Автор(ов): 

2

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

Truncated moment-generating functions of the NIG process and their applications

DOI: 

10.1142/S0219493717500393

Наименование источника: 

  • Stochastics and Dynamics

Обозначение и номер тома: 

Т. 17, № 5

Город: 

  • Singapore

Издательство: 

  • World Scientific Publishing Co. Pte Ltd

Год издания: 

2017

Страницы: 

1-12
Аннотация
In this paper we obtain expressions for truncated moment-generating functions of the normal-inverse Gaussian (NIG) process in closed forms. The result is derived without any additional martingale-type restriction on the initial probability measure. Applications to option pricing and risk measuring in the NIG model are given. The established formulas depend on values of the Humbert series.

Библиографическая ссылка: 

Иванов Р.В., Темнов Г.А. Truncated moment-generating functions of the NIG process and their applications // Stochastics and Dynamics. 2017. Т. 17, № 5. С. 1-12.