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


  • Nick Webber
  • Claudia Ribeiro


No abstract is available for this item.

Suggested Citation

  • Nick Webber & Claudia Ribeiro, 2003. "A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge," Computing in Economics and Finance 2003 5, Society for Computational Economics.
  • Handle: RePEc:sce:scecf3:5

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    Cited by:

    1. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2012. "A general control variate method for option pricing under Lévy processes," European Journal of Operational Research, Elsevier, vol. 221(2), pages 368-377.

    More about this item


    Monte Carlo simulations; Bridge method; Normal Inverse Gaussian; Option valuation;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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