Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correlating Lévy processes with self-decomposability: applications to energy markets |
scientific article |
Statements
Correlating Lévy processes with self-decomposability: applications to energy markets (English)
0 references
6 January 2022
0 references
multivariate Lévy processes
0 references
self-decomposability
0 references
Monte Carlo
0 references
FFT
0 references
energy markets
0 references
spread options
0 references
0 references
0 references
0 references
