{VERSION 5 0 "IBM INTEL NT" "5.0" }
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{SECT 0 {EXCHG {PARA 0 "> " 0 "" {MPLTEXT 1 0 8 "restart;" }}}{EXCHG 
{PARA 0 "> " 0 "" {MPLTEXT 1 0 11 "Digits:=10;" }}}{EXCHG {PARA 0 "> \+
" 0 "" {MPLTEXT 1 0 79 "tstData:=[alpha=6.1882, beta=-3.8941, delta=0.
1622, mu=0, r=0.019, S0=1124.47];" }}}{EXCHG {PARA 0 "> " 0 "" 
{MPLTEXT 1 0 186 "alpha*delta/Pi*exp(delta*(alpha^2-beta^2)^(1/2)+beta
*(x-mu))*BesselK(1,alpha*(delta^2+(x-mu)^2)^(1/2))/(delta^2+(x-mu)^2)^
(1/2): subs(mu=0,%);\npdfNIG:= unapply(%, x, alpha, beta, delta);" }}}
{EXCHG {PARA 0 "> " 0 "" {MPLTEXT 1 0 140 "# parameter restrictions ar
e\n# assume(mu::real):\n# assume(0<delta):\n# assume(0<=alpha):\n# ass
ume(beta::real); additionally(abs(beta)<alpha);" }}}{EXCHG {PARA 0 "> \+
" 0 "" {MPLTEXT 1 0 361 "cutOff:=4.0;\nc:=ln(K/S0);\nI1:= (S0,K,t,  al
pha,beta,delta) ->\n  Int(pdfNIG(x,alpha, 1+beta,delta*t),x=ln(K/S0)..
cutOff,method = _Sinc);\nI2:= (S0,K,t,  alpha,beta,delta) -> \n  Int(p
dfNIG(x,alpha,   beta,delta*t),x=ln(K/S0)..cutOff,method = _Sinc);\nC:
= (S0,K,t,r, alpha,beta,delta) -> \n  S0*I1(S0,K,t, alpha,beta,delta) \+
- exp(-r*t)*K*I2(S0,K,t, alpha,beta,delta);" }}}{EXCHG {PARA 0 "> " 0 
"" {MPLTEXT 1 0 296 "r-mu = delta*((alpha^2-(beta+theta)^2)^(1/2)-(alp
ha^2-(beta+(theta+1))^2)^(1/2));\nsubs(alpha = 6.1882, beta = -3.8941,
 delta = .1622, mu = 0, r = 0.019,%):\ntheTheta:=fsolve(%,theta,comple
x);\n\n'beta+theTheta';\nnewBeta:= \n  subs(alpha = 6.1882, beta = -3.
8941, delta = .1622, mu = 0, r = 0.019,%);\n" }}}{EXCHG {PARA 0 "> " 
0 "" {MPLTEXT 1 0 177 "tstTime:=1.708;\ntstK:=900.0;\nC(1124.47,tstK,t
stTime, 0.019, 6.1882,newBeta,0.1622):\nevalf(%);\n\npdfNIG(x,6.1882,n
ewBeta,0.1622*tstTime): evalf(%);\nplot(%, x=ln(tstK/1124.47)..2);" }}
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