A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Matteo Gardini, Piergiacomo Sabino and Emanuela Sasso
| Year of publication: |
2021
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|---|---|
| Authors: | Gardini, Matteo ; Sabino, Piergiacomo ; Sasso, Emanuela |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 2, p. 178-199
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| Subject: | energy markets | FFT | Monte Carlo | Multivariate Lévy processes | self-decomposability | spread options | Energiemarkt | Energy market | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.2010106 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013171069