Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
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Publication:5164999
DOI10.1080/1350486X.2021.1909488zbMath1475.91363arXiv1908.03137OpenAlexW3012711711MaRDI QIDQ5164999
Piergiacomo Sabino, Nicola Cufaro Petroni
Publication date: 15 November 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.03137
Sums of independent random variables; random walks (60G50) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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