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A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge

Author

Listed:
  • Nick Webber
  • Claudia Ribeiro

Abstract

No abstract is available for this item.

Suggested Citation

  • Nick Webber & Claudia Ribeiro, 2003. "A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge," Computing in Economics and Finance 2003 5, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:5
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    Citations

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    Cited by:

    1. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2012. "A general control variate method for option pricing under Lévy processes," European Journal of Operational Research, Elsevier, vol. 221(2), pages 368-377.
    2. Zhang, Ling & Lai, Yongzeng & Zhang, Shuhua & Li, Lin, 2019. "Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 602-621.
    3. Jia, Jiayi & Lai, Yongzeng & Li, Lin & Tan, Vinna, 2020. "Exotic options pricing under special Lévy process models: A biased control variate method approach," Finance Research Letters, Elsevier, vol. 34(C).
    4. Kyoung-Kuk Kim & Sojung Kim, 2016. "Simulation of Tempered Stable Lévy Bridges and Its Applications," Operations Research, INFORMS, vol. 64(2), pages 495-509, April.
    5. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
    6. Zang, Xin & Jiang, Fan & Xia, Chenxi & Yang, Jingping, 2024. "Random distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 51-73.
    7. Wenbin Hu & Junzi Zhou, 2017. "Backward simulation methods for pricing American options under the CIR process," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1683-1695, November.

    More about this item

    Keywords

    Monte Carlo simulations; Bridge method; Normal Inverse Gaussian; Option valuation;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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