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~accessRights:"restricted"
~isPartOf:"Annals of finance"
~isPartOf:"Applied mathematical finance"
~isPartOf:"International journal of theoretical and applied finance"
~person:"Sabino, Piergiacomo"
~subject:"Derivat"
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Derivat
Energiemarkt
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Energy market
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Option pricing theory
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energy Derivatives
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exact simulation
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Sabino, Piergiacomo
Hess, Markus
3
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Cohen, Samuel N.
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Lyons, Terry
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Melʹnikov, Aleksandr V.
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Nejad, Sina
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Reisinger, Christoph
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Capriotti, Luca
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Annals of finance
Applied mathematical finance
International journal of theoretical and applied finance
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ECONIS (ZBW)
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Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
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2
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
3
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
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