The Impact of Estimation Errors on the Option Pricing

By Natalia Chudzikiewicz and Patrycja Przytula

The Normal Inverse Gaussian distribution is used as a model of logarithmic returns of index values. We use the Esscher transform and the Black Scholes formula for the option pricing. The calibration... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 3844306048
• ISBN13: 9783844306040
• Release Date: February 2011
• Publisher: LAP Lambert Academic Publishing
• Length: 92 Pages
• Weight: 0.32 lbs.
• Dimensions: 0.2" x 6.0" x 9.0"