Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Piergiacomo Sabino and Nicola Cufaro Petroni
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1909488 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012625980