Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Piergiacomo Sabino
| Year of publication: |
2020
|
|---|---|
| Authors: | Sabino, Piergiacomo |
| Subject: | energy Derivatives | energy Markets | exact simulation | lévy-driven Ornstein-Uhlenbeck (OU) processes | Monte Carlo | ou-Variance-Gamma processes | Simulation | Energiemarkt | Energy market | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2020.1813040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012315167