Blar i NTNU Open på forfatter "Østreim, John Hauge"
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Pricing of Lookback Options with NIG and VG Dynamics, using the Numerical Path Integration Method.
Østreim, John Hauge (Master thesis, 2009)In this thesis we explore the use of the Normal Inverse Gaussian (NIG) and the Variance Gamma (VG) distribution to model stock returns. We compare the NIG market model and the VG market model with historical financial data, ...