Normal Inverse Gaussian Distribution.

CDO2 · December 7th, 2005, 4:35 pm

Hi there,Has anyone built a pricing model using Normal inverse distribution in VB?Thanks

quantie · December 7th, 2005, 5:49 pm

Three threads for the same question?NiG density involves bessel functions and for pricing you need numerical integration both are available in GSL or your favorite math/stat software. Now if you can manage to expose these functions to excel you are done.

Jonathan81 · December 7th, 2005, 5:56 pm

NIG copula doesn't match your base correlation it is the same thing that a double t copula or a gram charlier copula