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