Scholarlink

<p>The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian (NIG) process. We first find the risk neutral equivalent martingale measure <i>Q</i> by Esscher transform. Then, using the Fourier transform and its inverse, we derive the analytical pricing formulas of power options which are expressed in the form of Fourier integral. In addition, the fast Fourier transform (FFT) algorithm is applied to calculate these pricing formulas. Finally, Shangzheng 50ETF options are chosen to test our results. Estimating the parameters in NIG process by maximum likelihood method, we show that the NIG prices are much closer to market prices than the Black-Scholes-Merton (BSM) ones.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Pricing power option under NIG model using fast Fourier transform

  • 期刊论文

  • 发表日期：

    2025年6月26日

查看全文
  • Cui-xiang Li,
  • Meng-na Wang,
  • Hui-li Liu,
  • Wen-han Li

摘要

The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian (NIG) process. We first find the risk neutral equivalent martingale measure Q by Esscher transform. Then, using the Fourier transform and its inverse, we derive the analytical pricing formulas of power options which are expressed in the form of Fourier integral. In addition, the fast Fourier transform (FFT) algorithm is applied to calculate these pricing formulas. Finally, Shangzheng 50ETF options are chosen to test our results. Estimating the parameters in NIG process by maximum likelihood method, we show that the NIG prices are much closer to market prices than the Black-Scholes-Merton (BSM) ones.