The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

By Anders Eriksson, Eric Ghysels, Fangfang Wang. Jurnal derivate, 2009

82 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/02cbcb1c3af618004d4e7d8358a00f9f1319ecfd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Leif B. G. Andersen
2. Alexander Lipton
3. Adrien de Larrard
4. Rama Cont
5. Christian Kahl

In Management Science and Operations Research

1. Adrien de Larrard
2. Rama Cont

Citations in the corpus

• Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, background): “, [12], [42], which we consider in some detail.”