A Simulation Analysis of Distortion Operators of Wang, NIG and Cauchy: A Comparative Approach
Godswill U. Achi, Francis A. Ujah & Sambo Dachollom · Journal of Advances in Mathematics and Computer Science · 2015
The problem of pricing contingent claims has been extensively studied for non-Gaussian models and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was originally studied in Insurance pricing where the distortion function was de...
Open access
Research Article
10.9734/BJMCS/2016/19002