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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
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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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A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela - In: Applied mathematical finance 28 (2021) 2, pp. 178-199
Persistent link: https://www.econbiz.de/10013171069
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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