Fast pricing of barrier options with NIG dynamics

dc.contributor.advisor	Næss, Arvid	nb_NO
dc.contributor.author	Aukrust, Eivind Grøver	nb_NO
dc.date.accessioned	2014-12-19T13:57:28Z
dc.date.available	2014-12-19T13:57:28Z
dc.date.created	2010-09-02	nb_NO
dc.date.issued	2008	nb_NO
dc.identifier	346921	nb_NO
dc.identifier	ntnudaim:4151	nb_NO
dc.identifier.uri	http://hdl.handle.net/11250/258213
dc.description.abstract	We show how we can price different barrier options very fast and accurately using numerical path integration. We will assume the underlying stock follow a NIG process.	nb_NO
dc.language	eng	nb_NO
dc.publisher	Institutt for matematiske fag	nb_NO
dc.subject	ntnudaim	no_NO
dc.subject	SIF3 fysikk og matematikk	no_NO
dc.subject	Industriell matematikk	no_NO
dc.title	Fast pricing of barrier options with NIG dynamics	nb_NO
dc.type	Master thesis	nb_NO
dc.source.pagenumber	70	nb_NO
dc.contributor.department	Norges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fag	nb_NO