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Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes - MaRDI portal

Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999)

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scientific article; zbMATH DE number 7426561
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English
Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
scientific article; zbMATH DE number 7426561

    Statements

    title
    Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (English)
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    author
    Piergiacomo Sabino
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    Nicola Cufaro Petroni
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    publication date
    15 November 2021
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    zbMATH Keywords
    simulation
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    mean-reverting jump-diffusion processes
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    compound Poisson
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    energy derivatives
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    cites work
    Q3376698
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    Q4937701
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60J74
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    60J60
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    60G50
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    zbMATH DE Number
    7426561
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    arXiv ID
    1908.03137
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    OpenAlex ID
    W3012711711
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