Pages that link to "Item:Q3617306"
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The following pages link to Pricing of Swing Options in a Mean Reverting Model with Jumps (Q3617306):
Displaying 13 items.
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields (Q1739895) (← links)
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786) (← links)
- Valuation of swing options under a regime-switching mean-reverting model (Q2298579) (← links)
- Swing options in commodity markets: a multidimensional Lévy diffusion model (Q2441571) (← links)
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
- Modelling electricity prices: a time change approach (Q5001192) (← links)
- Gamma-related Ornstein–Uhlenbeck processes and their simulation* (Q5065235) (← links)
- Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267) (← links)
- Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)
- Practice-relevant model validation: distributional parameter risk analysis in financial model risk management (Q6148805) (← links)
