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 |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 1, p. 1-22
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| Subject: | compound poisson | energy derivatives | mean-reverting jump-diffusion processes | Simulation | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Energiemarkt | Energy market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1909488 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012625980