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A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10003542981
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Valuation of two-factor interest rate contingent claims using Green's theorem
Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 3/4, pp. 277-289
Persistent link: https://www.econbiz.de/10009381923
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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324
Persistent link: https://www.econbiz.de/10001864238
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Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322
Persistent link: https://www.econbiz.de/10011704246
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A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen; Pircalabu, Anca - In: Applied mathematical finance 25 (2018) 1/2, pp. 36-65
Persistent link: https://www.econbiz.de/10011959115