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Pricing exchange options with correlated jump diffusion processes
Cufaro Petroni, Nicola, (2020)
On calendar energy options
Li, Lide, (2013)
Risk valuation of quanto derivatives on temperature and electricity
Alfonsi, Aurélien, (2023)
On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso, (2014)
Pricing and Hedging Multi-Asset Spread Options by a Three-Dimensional Fourier Cosine Series Expansion Method
Pellegrino, Tommaso, (2016)
Enhancing Least Squares Monte Carlo with Diffusion Bridges : An Application to Energy Facilities
Pellegrino, Tommaso, (2015)