PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (Q5193006)
From MaRDI portal
scientific article; zbMATH DE number 5593341
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS |
scientific article; zbMATH DE number 5593341 |
Statements
PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (English)
0 references
10 August 2009
0 references
energy markets
0 references
spread options
0 references
Asian options
0 references
fast Fourier transform
0 references
non-Gaussian Ornstein-Uhlenbeck processes
0 references
independent increment processes
0 references
