Feller processes of normal inverse Gaussian type
In: Non-Gaussian Merton-Black-Scholes Theory
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
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