On Asian option pricing for NIG Lévy processes
By Hansjörg Albrecher *, Martin Predota. 2004
69 citations recorded by the source corpus.
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-returns. 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.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/9f4c2c3d6cb97e66c7bcb603b16be32ea5542f1d
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Citations in the corpus
- Consistency of general bootstrap methods for degenerate U-type and V-type statistics (2009, methodology): “906] provided an estimate of the NIG parametrization for the Dresdner Bank stock, based on 1562 observations while Albrecher and Predota [26] estimated these parameters for the NYSE Composite Index; see Table 3.”
- Pricing discretely monitored Asian options under Levy processes (2008, methodology): “Albrecher (2004) and Albrecher and Predota (2004) explore approximations based on the moments of the average, but in general it is di¢ cult to evaluate the approximation error.”
- Bounds for the price of discrete arithmetic Asian options (2006, unknown): “We mention that in view of recent developments for modelling the asset prices by exponential Lévy processes, Albrecher and Predota (2002, 2004) have applied the comonotonic upper bound of Kaas et al. (2000) when the asset price dynamics is driven by a Normal Inverse Gaussian (NIG) and Variance…”