Vanilla Call Option Price in the NIG Model

Posted by Chun-Yuan Chiu

Input:

Show parameters of the NIG model (annulized)

Risk free interest rate
alpha
beta
delta

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
Output:
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  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, hedging methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, hedging and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

pai@quantcalc.net

Copyright 2012-2017 Szu-Yu Pai