Exact simulation of normal tempered stable processes of OU type with applications
DOI10.1007/s11222-022-10153-8zbMath1497.62013OpenAlexW4297341549MaRDI QIDQ2080363
Publication date: 7 October 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-022-10153-8
simulationsderivative pricingenergy marketsLévy-driven Ornstein-Uhlenbeck processesnormal tempered stable processes
Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tempered stable distributions and processes
- Tempering stable processes
- Processes of normal inverse Gaussian type
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Selfdecomposability and selfsimilarity: a concise primer
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
- Rejection sampling for tempered Lévy processes
- Bilateral gamma distributions and processes in financial mathematics
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
- Variance optimal hedging for continuous time additive processes and applications
- Tempered Stable Distributions
- Tempered stable Ornstein– Uhlenbeck processes: A practical view
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- A two-factor model for the electricity forward market
- Modelling spikes and pricing swing options in electricity markets
- Mixtures in nonstable Lévy processes
- MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
- Generating Random Variates Using Transformations with Multiple Roots
- Some stationary processes in discrete and continuous time
- Random variate generation for exponentially and polynomially tilted stable distributions
- Sampling Exponentially Tilted Stable Distributions
- Financial Modelling with Jump Processes
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Gamma-related Ornstein–Uhlenbeck processes and their simulation*
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives
- Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
This page was built for publication: Exact simulation of normal tempered stable processes of OU type with applications