Browsing Faculty of Science & Technology (FST) by Subject "The Cos Method for European Options in the Normal Inverse Gaussian Framework"

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The Cos Method for European Options in the Normal Inverse Gaussian Framework

Koech, Sharon (University of Nairobi, 2023)

The goal of this project is to explore the application of the Fourier-cosine expansion (COS) method within the framework of the Normal Inverse Gaussian (NIG) distribution for pricing European options, the COS-NIG model. ...