Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

DOI10.1239/aap/1370870130zbMath1269.91083OpenAlexW2012330573MaRDI QIDQ2837760

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Publication date: 11 July 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1370870130

zbMATH Keywords

stochastic volatilitysubordinatorforward pricingenergy marketspread option

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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