PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (Q5193006): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank | |||
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| Property / cites work: A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing / rank | |||
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| Property / cites work: Pricing and Hedging Spread Options / rank | |||
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| Property / cites work: Q3342799 / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024909005324 / rank | |||
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| Property / OpenAlex ID: W1968473125 / rank | |||
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Latest revision as of 10:51, 30 July 2024
scientific article; zbMATH DE number 5593341
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS |
scientific article; zbMATH DE number 5593341 |
Statements
PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (English)
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10 August 2009
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energy markets
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spread options
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Asian options
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fast Fourier transform
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non-Gaussian Ornstein-Uhlenbeck processes
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independent increment processes
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