Normal Tempered Stable Processes and the Pricing of Energy Derivatives

DOI10.1137/21M1425207OpenAlexW3160380084MaRDI QIDQ5886359FDOQ5886359

Authors: Piergiacomo Sabino 

Publication date: 31 March 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.03071

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zbMATH Keywords

simulationsderivative pricingenergy marketsnormal tempered stable processesLévy-driven Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stationary stochastic processes (60G10)

Cites Work

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Cited In (6)

• Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
• Exact simulation of normal tempered stable processes of OU type with applications
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets

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