Gas storage valuation under multifactor Lévy processes
Mark Cummins, Greg Kiely, Bernard Murphy
| Year of publication: |
October 2018
|
|---|---|
| Authors: | Cummins, Mark ; Kiely, Greg ; Murphy, Bernard |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 95.2018, p. 167-184
|
| Subject: | Gas storage valuation | Multifactor Lévy processes | Mean reverting variance gamma processes | Implied moments calibration | Fast fourier transform | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Erdgas | Natural gas | Volatilität | Volatility | Lagermanagement | Warehouse management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.02.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011966740