论文标题
指数nig模型中的显式期权评估
Explicit option valuation in the exponential NIG model
论文作者
论文摘要
我们在正常的逆高斯工艺驱动的指数lévy模型中为多种路径独立选项提供了封闭形式的定价公式。在对称模型和不对称模型中都获得了结果，并在某种情况下采用简单而快速收敛的序列的形式，涉及对数的货币度和仪器的成熟度。证明基于梅林空间中的分解表示，以任意路径独立的回报和复杂分析的工具。由于与标准数值方法（傅立叶和快速傅立叶变换，蒙特卡洛模拟）对现实参数集的几次比较，对结果的有效性进行了评估。还提供了收敛速度和截断误差的精确边界。
We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential Lévy model driven by the Normal inverse Gaussian process. The results are obtained in both the symmetric and asymmetric model, and take the form of simple and quickly convergent series, under some condition involving the log-forward moneyness and the maturity of instruments. Proofs are based on a factorized representation in the Mellin space for the price of an arbitrary path-independent payoff, and on tools from complex analysis. The validity of the results is assessed thanks to several comparisons with standard numerical methods (Fourier and Fast Fourier transforms, Monte-Carlo simulations) for realistic sets of parameters. Precise bounds for the convergence speed and the truncation error are also provided.
