Jul
26

## Normal Inverse Gaussian(NIG) and other stochastical vol model

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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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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