Abstract
In this article, the author assumes that the stock price dynamics follows the exponential of the normal-inverse Gaussian process. Analytical formulas for values of digital options and European calls are obtained. The considered family of the four-parametric normal-inverse Gaussian processes has steepness parameter . The established formulas depend on the values of the degenerate Appell hypergeometric function.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
