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Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives - MaRDI portal

Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267)

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scientific article; zbMATH DE number 7307493
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English
Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives
scientific article; zbMATH DE number 7307493

    Statements

    title
    Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (English)
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    author
    Piergiacomo Sabino
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    publication date
    8 February 2021
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    zbMATH Keywords
    Monte Carlo
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    exact simulation
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    Lévy-driven Ornstein-Uhlenbeck (ou) processes
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    ou-variance-gamma processes
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    energy markets
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    energy derivatives
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    cites work
    Q3376698
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    Q3723577
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    Q3084090
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    Q4821330
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    Q3908259
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    Q4937701
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    Identifiers

    zbMATH DE Number
    7307493
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    arXiv ID
    2004.06786
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    OpenAlex ID
    W3016964882
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