In the current paper, we develop a methodology to price lookback options for cryptocurrencies. We propose discreetly monitored window average option, whose monitoring frequencies are randomly selected within time maturity, and is asset in specified surrounding instant. these underlying CCI30 index of various Cryptocurrencies, as opposed single cryptocurrency, with intention reducing volatility,...

In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Lévy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Lévy model with hyper-exponential jumps. Inversion of these single Laplace transform yields rapid, accurate results. The...

A model is presented of the development of the size distribution of sand while it is transported from a source to a deposit. The model provides a possible explanation of the log-hyperbolic shape that is frequently found in unimodal grain size distributions in natural sand deposits, as pointed out by Bagnold. It implies that the size distribution of a sand deposit is a logarithmic normal-inverse...

We provide 40 m resolution wildfire spread, hazard and exposure metric raster grids for the 0.13 million ha fire-prone Bages County in central Catalonia (northeastern Spain) corresponding to node influence grid (NIG), crown fraction burned (CFB) and fire transmission to residential houses (TR). Fire spread and behavior data (NIG, CFB and fire perimeters) were generated with fire simulation mode...

In this paper, we study the autoregressive (AR) model with normal inverse Gaussian (NIG) innovations. The NIG distribution is semi heavy-tailed and helpful in capturing extreme observations present data. expectation-maximization (EM) algorithm used to estimate parameters of considered AR(p) model. efficacy estimation procedure shown on simulated data for AR(2) AR(1) models. A comparative presen...

Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, GARCH type jump-diffusion type, have been developed dynamically capture price movement of this highly volatile asset. While fitting Gaussian and Generalized Hyperbolic Normal Inverse (NIG) distributions log-returns Bitcoin, NIG distribution a...

We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential Lévy model driven by normal inverse Gaussian process. The results are obtained both symmetric and asymmetric models, take form simple quickly convergent series, under some conditions involving log-forward moneyness maturity instruments. Proofs based on factorized representation Mellin spac...