Normal Tempered Stable Processes and the Pricing of Energy Derivatives

DOI10.1137/21M1425207OpenAlexW3160380084MaRDI QIDQ5886359

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

zbMATH Keywords

simulationsderivative pricingenergy marketsLévy-driven Ornstein-Uhlenbeck processesnormal tempered stable processes

Mathematics Subject Classification ID

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

Related Items (2)

Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

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