Exact simulation of normal tempered stable processes of OU type with applications
DOI10.1007/s11222-022-10153-8zbMath1497.62013OpenAlexW4297341549MaRDI QIDQ2080363
Publication date: 7 October 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-022-10153-8
simulationsderivative pricingenergy marketsLévy-driven Ornstein-Uhlenbeck processesnormal tempered stable processes
Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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