Feller processes of normal inverse Gaussian type

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 14 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 281-294 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionConstructions of NIG-like Feller process via pseudodifferential operatorsNaive construction: NIG-like generators with state-dependent parametersConstructions via infinitesimal generators: subordination of semigroups of operatorsApplications for financial mathematicsGeneralised Black-Scholes equation for contingent claims under NIG-like Feller processesPricing of European options under NIG-like Feller processes obtained via subordinationPricing of European options under NIG-like Feller processes obtained by the naive approachDiscussion and conclusions

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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