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Discrete Asian 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 FFT pricing method

Number of grid points
Window [-c, c], c =

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity		Years
Number of partitions
Output:
Call value

The price of an Asian call option in the normal inverse Gaussian (NIG) model. The calculation is based on FFT pricing. The algorithm is a sequence of operations on grid functions. We take uniform grid in the interval [-c, c]. For now the number of grid points can only be a power of 2.

Tagged: FFT, Asian Option, NIG Model, Normal Inverse Gaussian

 •  Jun 22, 2013  •