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

Nick Webber and Claudia Ribeiro

No 5, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Monte Carlo simulations; Bridge method; Normal Inverse Gaussian; Option valuation (search for similar items in EconPapers)
JEL-codes: C15 G13 (search for similar items in EconPapers)
Date: 2003-08-01
New Economics Papers: this item is included in nep-cfn, nep-cmp and nep-rmg
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Citations: View citations in EconPapers (7)

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