Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999): Difference between revisions

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Latest revision as of 10:26, 30 July 2024

scientific article; zbMATH DE number 7426561
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English
Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
scientific article; zbMATH DE number 7426561

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    Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (English)
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    15 November 2021
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    simulation
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    mean-reverting jump-diffusion processes
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    compound Poisson
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    energy derivatives
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