# Explicit option valuation in the exponential NIG model

@article{Aguilar2020ExplicitOV, title={Explicit option valuation in the exponential NIG model}, author={Jean-Philippe Aguilar}, journal={Quantitative Finance}, year={2020}, volume={21}, pages={1281 - 1299} }

We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential Lévy model driven by the normal inverse Gaussian process. The results are obtained in both the symmetric and asymmetric models, and take the form of simple and quickly convergent series, under some conditions involving the log-forward moneyness and the maturity of instruments. Proofs are based on a factorized representation in the Mellin space for the price of an arbitrary path-independent…

## 3 Citations

Closed-form Option Pricing for Exponential Lévy Models: A Residue Approach

- 2021

Exponential Lévy processes provide a natural and tractable generalization of the classic Black-Scholes-Merton model which are capable of capturing observed market implied volatility skews. In the…

On the Quantitative Properties of Some Market Models Involving Fractional Derivatives

- Mathematics
- 2021

We review and discuss the properties of various models that are used to describe the behavior of stock returns and are related in a way or another to fractional pseudo-differential operators in the…

Pricing, Risk and Volatility in Subordinated Market Models

- Economics
- 2020

We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Levy processes driving asset returns, or on fractional…

## References

SHOWING 1-10 OF 79 REFERENCES

Option valuation using the fast Fourier transform

- Economics
- 1999

This paper shows how the fast Fourier Transform may be used to value options when the characteristic function of the return is known analytically.

Calibration of Lévy Option Pricing Models: Applications to S

- P 500 Futures option,
- 1963

A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes

- Mathematics
- 2001

Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal…

Exponentially decreasing distributions for the logarithm of particle size

- Mathematics, ChemistryProceedings of the Royal Society of London. A. Mathematical and Physical Sciences
- 1977

The family of continuous type distributions such that the logarithm of the probability (density) function is a hyperbola (or, in several dimensions, a hyperboloid) is introduced and investigated. It…

Pricing Exotic Options with the Normal Inverse Gaussian Market Model using Numerical Path Integration

- Economics
- 2009

Compare the Normal Inverse Gaussian market model against empirical financial market data, and price exotic options using the numerical path integration approach.

Nowcasting: the real time informational content of macroeconomic data releases

- Business, Economics
- 2008

A formal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method…

The real - time informational content of macroeconomic data

- J . Monet . Econ .
- 2008

Calibration of Lévy Option Pricing Models: Applications to S& P 500 Futures option

- 2006

A perfect calibration! Now what?, Wilmott magazine

- 2004