Probabilistic Representation of a Normal Generalized Inverse Gaussian Integral: Application to Option Pricing
Journal Title: JOURNAL OF ADVANCES IN MATHEMATICS - Year 2013, Vol 4, Issue 1
Abstract
An analytical probabilistic integral representation for the European call option price in the Hurst-Platen-Rachev subordinated asset price model with generalized inverse Gaussian subordinator is obtained. For the limiting gamma mixing case, the representation yields simpler closed-form formulas for the European risk-neutral call option price in the exponential variance-gamma process by Madan, Carr and Chang. An elementary state-price deflator derivation of the Hurst-Platen-Rachev option pricing formula is also included.
Authors and Affiliations
Werner Huerlimann
Keywords
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- EP ID EP651187
- DOI 10.24297/jam.v4i1.2478
- Views 189
- Downloads 0
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