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Jul 26

Normal Inverse Gaussian(NIG) and other stochastical vol model

Posted by abiao at 08:11 | Code » VBA/Excel | Comments(1) | Reads(11274)
stochastic volatility / other models

NIG_tiny_withDLL.zip
    Normal Inverse Gauss option pricer (with Esscher transform correction), Excel + DLL, and
    a Maple worksheet with short explanations, cf Schoutens book "Levy Proccess in Finance"

VG_Pricer_short(Maple).pdf
    A 'brute' option pricer for the Variance Gamma model (Madan, Carr, Chang 1998) in Maple

VG_small.zip
    Variance Gamma model in Excel + DLL; it uses a gamma distribution pdfGamma(a,x)
    which accepts large numerical arguments


http://www.axelvogt.de/axalom/

wiki(Normal-inverse Gaussian distribution)


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