Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: Wen-Xiu Gong, Ye-Sen Sun and Ling-Yun Gao
Pages: [49] - [62]
Received Date: July 18, 2015
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121525
Options is an important financial derivative products, therefore it is important to reasonable pricing. According to the financial asset returns typically exhibit the feature of aiguilles large remaining part and hypothesis, it obeys normal inverse Gaussian distribution, using Monte Carlo simulation based on normal inverse Gaussian distribution on its pricing and improving it by antithesis variable. Finally, the conclusion is that the improved method is an effective method for option pricing through the empirical test.
normal inverse Gaussian distribution, Monte Carlo simulation, antithetic variable technique, option pricing.
