26545

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

Closed form pricing of European options for a family of normal-inverse Gaussian processes

ISBN/ISSN: 

1532-6349 (Print), 1532-4214 (Online)

Наименование источника: 

  • Stochastic Models

Обозначение и номер тома: 

Т. 29, № 4

Город: 

  • London

Издательство: 

  • Taylor & Francis

Год издания: 

2013

Страницы: 

435-450
Аннотация
In this paper a model in which a stock price is modeled by the exponential of the normal-inverse Gaussian process is discussed. Closed form expressions for prices of digital options and European calls are obtained. The considered family of four-parametric normal-inverse Gaussian processes has steepness parameter 1/2. The established formulas depend on values of the degenerate Appell hypergeometric function.

Библиографическая ссылка: 

Иванов Р.В. Closed form pricing of European options for a family of normal-inverse Gaussian processes // Stochastic Models. 2013. Т. 29, № 4. С. 435-450.