The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

Anders Eriksson; Eric Ghysels; Fangfang Wang

doi:10.3905/JOD.2009.16.3.023

The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

Anders Eriksson, Eric Ghysels and Fangfang Wang

The Journal of Derivatives Spring 2009, 16 (3) 23-37; DOI: https://doi.org/10.3905/JOD.2009.16.3.023

Anders Eriksson

is a director in Quantitative Analysis at Diwan Capital Ltd., in Dubai, UAE.

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For correspondence: aer@diwan-capital.com

Eric Ghysels

is the Edward M. Bernstein distinguished professor of economics at the University of North Carolina in Chapel Hill, NC.

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For correspondence: eghysels@unc.edu

Fangfang Wang

is a graduate student in statistics and operations research at the University of North Carolina in Chapel Hill, NC.

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For correspondence: fangfanw@email.unc.edu

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The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

Anders Eriksson, Eric Ghysels, Fangfang Wang

The Journal of Derivatives Feb 2009, 16 (3) 23-37; DOI: 10.3905/JOD.2009.16.3.023

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The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

Anders Eriksson, Eric Ghysels, Fangfang Wang

The Journal of Derivatives Feb 2009, 16 (3) 23-37; DOI: 10.3905/JOD.2009.16.3.023

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