Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives

DOI10.1080/1350486X.2020.1813040zbMath1457.91391arXiv2004.06786OpenAlexW3016964882MaRDI QIDQ5149267

Piergiacomo Sabino

Publication date: 8 February 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.06786

zbMATH Keywords

Monte Carloenergy derivativesexact simulationenergy marketsLévy-driven Ornstein-Uhlenbeck (ou) processesou-variance-gamma processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (7)

Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ Exact simulation of normal tempered stable processes of OU type with applications ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

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