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

Description

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

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9878
2. Local ntnudaim:4668

Tags

ntnudaim

SIF3 fysikk og matematikk

Industriell matematikk

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA/oai:DiVA.org:ntnu-9878
Date	January 2009
Creators	Sæbø, Karsten Krog
Publisher	Norwegian University of Science and Technology, Department of Mathematical Sciences, Institutt for matematiske fag
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, text