Gas storage valuation under Lévy processes using the fast Fourier transform
Year of publication: |
2017
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Authors: | Cummins, Mark ; Kiely, Greg ; Murphy, Bernard |
Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3607, ZDB-ID 2428804-4. - Vol. 10.2017, 4, p. 43-86
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Subject: | gas storage valuation | fast Fourier transform | Lévy modeling | mean-reverting variance-gamma model | mean-reverting diffusion | Optionspreistheorie | Option pricing theory | Erdgas | Natural gas | Stochastischer Prozess | Stochastic process |
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