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A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Albanese, Claudio
;
Lo, Harry
;
Tompaidis, Stathis
- In:
European journal of operational research : EJOR
222
(
2012
)
2
,
pp. 361-368
Persistent link: https://www.econbiz.de/10009570404
Saved in:
2
Small transaction cost asymptotics and dynamic hedging
Albanese, Claudio
;
Tompaidis, Stathis
- In:
European journal of operational research : EJOR
185
(
2008
)
3
,
pp. 1404-1414
Persistent link: https://www.econbiz.de/10007895500
Saved in:
3
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Albanese, Claudio
;
Lo, Harry
;
Tompaidis, Stathis
- In:
European journal of operational research : EJOR
222
(
2012
)
2
,
pp. 361-369
Persistent link: https://www.econbiz.de/10009983779
Saved in:
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