Exotic Option Pricing under NIG Model
Speaker:Prof. Yongzeng Lai
Department of Mathematics
Wilfrid Laurier University, Canada
Date & Time:22 Apr 2009 (Wednesday) 11:00 - 12:00
Venue:JM18

Abstract

A brief review of Monte Carlo methods and Quasi-Monte Carlo methods as well as their applications in computation finance is given. The generalized hyperbolic distributions and a moment martching method for parameters estimation are introduced. The exotic option pricing problems under NIG models are considered, and some numerical test results based on the Quasi-Monte Carlo methods are discussed.