Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267)
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scientific article; zbMATH DE number 7307493
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives |
scientific article; zbMATH DE number 7307493 |
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Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (English)
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8 February 2021
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Monte Carlo
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exact simulation
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Lévy-driven Ornstein-Uhlenbeck (ou) processes
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ou-variance-gamma processes
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energy markets
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energy derivatives
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