Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Year of publication: |
2021
|
---|---|
Authors: | Sabino, Piergiacomo ; Cufaro Petroni, Nicola |
Subject: | compound poisson | energy derivatives | mean-reverting jump-diffusion processes | Simulation | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Energiemarkt | Energy market | Mean Reversion | Mean reversion |
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