Show parameters of the NIG model (annulized)
Show inputs of the numerical method
The settings of the derivative
The price of a vanilla call option in the normal inverse Gaussian (NIG) model. This is an implementation of the algorithm proposed by Lewis (2001) which is based on the Fourier transform.
Tagged: Fourier Transform, Lewis, Vanilla Option, NIG Model, Normal Inverse Gaussian, Charasteristic Function
• Sep 22, 2014 •
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