Correlating Lévy processes with self-decomposability: applications to energy markets

DOI10.1007/s10203-021-00352-9zbMath1480.91288arXiv2004.04048OpenAlexW3205264403MaRDI QIDQ2064647

Piergiacomo Sabino, Emanuela Sasso, Matteo Gardini

Publication date: 6 January 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.04048

zbMATH Keywords

Monte CarloFFTself-decomposabilityspread optionsenergy marketsmultivariate Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes

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