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SOFTWARE
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nigpp is a package of Matlab code which implements the pricing of
perpetual American put options in the Normal Inverse Gaussian (NIG) model.
Functions for computing the Wiener-Hopf factors of the NIG process are also provided.

AUTHOR: 

   Ciprian NECULA
   E-mail: ciprian.necula@fin.ase.ro

REFERENCES:

    Necula, C., (2026), The Perpetual American Put in the Normal Inverse Gaussian Model

SOFTWARE REVISION DATE:

    v1.0, September 2026

SOFTWARE LANGUAGE:

    MATLAB


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PACKAGE
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README.txt     :  This file
licence.txt    :  Licence file
dep/           :  Directory containing code from outside sources, that
                  is distributed with the package  
nig/           :  Directory containing the implementation for 
                  the Normal Inverse Gaussian (NIG) model.


