On Asian option pricing for NIG Levy processes

被引：34

作者：

Albrecher, H ^{[1
]}

Predota, M ^{[1
]}

机构：

[1] Graz Univ Technol, Dept Math, A-8010 Graz, Austria

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2004年 / 172卷 / 01期

基金：

奥地利科学基金会;

关键词：

normal inverse Gaussian distribution; Esscher transform; comonotonicity;

D O I：

10.1016/j.cam.2004.01.037

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we derive approximations and bounds for the Esscher price of European-style arithmetic and geometric average options. The asset price process is assumed to be of exponential Levy type with normal inverse Gaussian (NIG) distributed log-retums. Numerical illustrations of the accuracy of these bounds as well as approximations and comparisons of the NIG average option prices with the corresponding Black-Scholes prices are given. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：153 / 168

页数：16

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