Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets

DOI10.1137/130905320zbMath1329.60120OpenAlexW1997472547MaRDI QIDQ2940753

Heidar Eyjolfsson, Almut E. D. Veraart, Fred Espen Benth

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41912

zbMATH Keywords

numerical simulationpath-dependent optionsFourier inversionLévy semistationary processesspot modeling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stationary stochastic processes (60G10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Numerical methods for trigonometric approximation and interpolation (65T40)

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