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文件名称:A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge
文件大小:233KB
文件格式:PDF
更新时间:2014-02-07 17:21:30
Inverse Gaussian Bridge
The normal inverse Gaussian process has been used to model both
stock returns and interest rate processes. Although several numerical
methods are available to compute, for instance, VaR and derivatives values,
these are in a relatively undeveloped state compared to the techniques
available in the Gaussian case.
This paper shows how a Monte Carlo valuation method may be used
with the NIG process, incorporating stratified sampling together with an
inverse Gaussian bridge.
The method is illustrated by pricing average rate options. We find the
method is up to around 200 times faster than plain Monte Carlo. These
efficiency gains are similar to those found in a related paper, Ribeiro and
Webber (02) [20], which develops an analogous method for the variancegamma
process.
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