Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26
-Uhlenbeck (OU) process. Since the risk from changing wind-power production and spot prices is highly correlated, we must model this … correlation as well. This is reproduced by replacing the small jumps of the Lévy process with a Brownian component and correlating … compare quanto option prices obtained from the VG process and NIG process. The novelty brought into this study is the use of a …