Approximating Lévy semistationary processes via Fourier methods in the context of power markets (Q2940753)
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scientific article; zbMATH DE number 6388319
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| English | Approximating Lévy semistationary processes via Fourier methods in the context of power markets |
scientific article; zbMATH DE number 6388319 |
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Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets (English)
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20 January 2015
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Lévy semistationary processes
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spot modeling
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Fourier inversion
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numerical simulation
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path-dependent options
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0.7341758608818054
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0.7308744192123413
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0.7245296239852905
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0.7243051528930664
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