Forward or backward simulation? A comparative study

DOI10.1080/14697688.2020.1741668zbMath1454.91305OpenAlexW3016243882MaRDI QIDQ5139227

Piergiacomo Sabino

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1741668

zbMATH Keywords

Lévy processesenergy derivativesbackward Monte Carlo simulationstime-changed Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (8)

Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes

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