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A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge 评分:

The normal inverse Gaussian process has been used to model both stock returns and interest rate processes. Although several numerical methods are available to compute, for instance, VaR and derivatives values, these are in a relatively undeveloped state compared to the techniques available in the Ga

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2011-01-18 上传 大小:233KB
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