Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Optimal Quantization for the Pricing of Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some stationary processes in discrete and continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dynamic programming approach for pricing options embedded in bonds / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Selfdecomposability and selfsimilarity: a concise primer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3723577 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random variate generation for exponentially and polynomially tilted stable distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Correlating Lévy processes with self-decomposability: applications to energy markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance optimal hedging for continuous time additive processes and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tempered Stable Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3084090 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling spikes and pricing swing options in electricity markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sampling Exponentially Tilted Stable Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of Commodity-Based Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A two-factor model for the electricity forward market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of Swing Options in a Mean Reverting Model with Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Electricity prices and power derivatives: evidence from the Nordic Power Exchange / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate time changes for Lévy asset models: characterization and calibration / rank
 
Normal rank
Property / cites work
 
Property / cites work: MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generating Random Variates Using Transformations with Multiple Roots / rank
 
Normal rank
Property / cites work
 
Property / cites work: Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tempering stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward or backward simulation? A comparative study / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast simulation of tempered stable Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions / rank
 
Normal rank

Latest revision as of 20:58, 31 July 2024

scientific article; zbMATH DE number 7671149
Language Label Description Also known as
English
Normal Tempered Stable Processes and the Pricing of Energy Derivatives
scientific article; zbMATH DE number 7671149

    Statements

    Normal Tempered Stable Processes and the Pricing of Energy Derivatives (English)
    0 references
    0 references
    31 March 2023
    0 references
    simulations
    0 references
    normal tempered stable processes
    0 references
    Lévy-driven Ornstein-Uhlenbeck processes
    0 references
    energy markets
    0 references
    derivative pricing
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references