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Asian options 1 Energy markets 1 fast Fourier transform 1 independent increment processes 1 non-Gaussian Ornstein–Uhlenbeck processes 1 spread options 1
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BENTH, FRED ESPEN 1 KUFAKUNESU, RODWELL 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1
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PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
BENTH, FRED ESPEN; KUFAKUNESU, RODWELL - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 491-506
characteristic functions of the driving noises, being independent increment processes. In many relevant situations, these functions …
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