Vanilla Call Option Price in the NIG Model

Posted by Chun-Yuan Chiu


Show parameters of the NIG model (annulized)

Risk free interest rate

Show inputs of the numerical method

Integrate from 0 to
Number of partition

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Call value

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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