PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (Q5193006): Difference between revisions
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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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