Explicit option valuation in the exponential NIG model

  title={Explicit option valuation in the exponential NIG model},
  author={Jean-Philippe Aguilar},
  journal={Quantitative Finance},
  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… 
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