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Normal Inverse Gaussian Distribution.
Posted: December 7th, 2005, 4:35 pm
by CDO2
Hi there,Has anyone built a pricing model using Normal inverse distribution in VB?Thanks
Normal Inverse Gaussian Distribution.
Posted: December 7th, 2005, 5:49 pm
by quantie
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.
Normal Inverse Gaussian Distribution.
Posted: December 7th, 2005, 5:56 pm
by Jonathan81
NIG copula doesn't match your base correlation it is the same thing that a double t copula or a gram charlier copula