In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein-Uhlenbeck process. To this end, we first calculate the characteristic function of the transition law of such processes in closed form. This result is...

We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options.Asian options are derivative contracts in which the underlying variable is the average price of given assets sampled over a...