Normal Tempered Stable Processes and the Pricing of Energy Derivatives
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Publication:5886359
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Cites work
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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- 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
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- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
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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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