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Feller processes of normal inverse Gaussian type

In: Non-Gaussian Merton-Black-Scholes Theory

Author

Listed:
  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)

Abstract

The following sections are included:IntroductionConstructions of NIG-like Feller process via pseudodifferential operatorsNaive construction: NIG-like generators with state-dependent parametersConstructions via infinitesimal generators: subordination of semigroups of operatorsApplications for financial mathematicsGeneralised Black-Scholes equation for contingent claims under NIG-like Feller processesPricing of European options under NIG-like Feller processes obtained via subordinationPricing of European options under NIG-like Feller processes obtained by the naive approachDiscussion and conclusions

Suggested Citation

  • Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Feller processes of normal inverse Gaussian type," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 14, pages 281-294, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812777485_0014
    as

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