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

共 27 条

[11] EBERLEIN E, 2001, MATH FINANCE BACHELI
[12] Pure jump Levy processes for asset price modelling
Geman, H
[J]. JOURNAL OF BANKING & FINANCE, 2002, 26 (07) : 1297 - 1316
[13] Gerber H.U., 1994, T SOC ACTUARIES, V46, P99
[14] GERBER HU, 1994, T SOC ACTUATIES, V46, P175
[15] The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
Grandits, P
[J]. BERNOULLI, 1999, 5 (02) : 225 - 247
[16] HARTINGER J, 2002, GRAZER MATH BER, V345, P1
[17] APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC-PROCESSES
JARROW, R
RUDD, A
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (03) : 347 - 369
[18] A PRICING METHOD FOR OPTIONS BASED ON AVERAGE ASSET VALUES
KEMNA, AGZ
VORST, ACF
[J]. JOURNAL OF BANKING & FINANCE, 1990, 14 (01) : 113 - 129
[19] PRICING EUROPEAN AVERAGE RATE CURRENCY OPTIONS
LEVY, E
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1992, 11 (05) : 474 - 491
[20] Madan D., 1991, MATH FINANC, V1, P39, DOI DOI 10.1111/J.1467-9965.1991.TB00018.X

← 1 2 3 →