Correlating Lévy processes with self-decomposability : applications to energy markets
Matteo Gardini, Piergiacomo Sabino, Emanuela Sasso
| Year of publication: |
2021
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| Authors: | Gardini, Matteo ; Sabino, Piergiacomo ; Sasso, Emanuela |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 2, p. 1253-1280
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| Subject: | Multivariate Lévy processes | Self-decomposability | Monte Carlo | FFT | Energy markets | Spread options | Energiemarkt | Energy market | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-021-00352-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012795133