On Asian option pricing for NIG Lévy processes. (English) Zbl 1107.91042

Summary: We derive approximations and bounds for the Esscher price of European-style arithmetic and geometric average options. The asset price process is assumed to be of exponential Lévy type with normal inverse Gaussian (NIG) distributed log-returns. Numerical illustrations of the accuracy of these bounds as well as approximations and comparisons of the NIG average option prices with the corresponding Black–Scholes prices are given.


91G20 Derivative securities (option pricing, hedging, etc.)
60G99 Stochastic processes
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