PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS

DOI10.1142/S0219024909005324zbMath1178.91190OpenAlexW1968473125MaRDI QIDQ5193006

Rodwell Kufakunesu, Fred Espen Benth

Publication date: 10 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005324

zbMATH Keywords

fast Fourier transformAsian optionsspread optionsenergy marketsnon-Gaussian Ornstein-Uhlenbeck processesindependent increment processes

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Related Items (1)

Joint Modelling of Gas and Electricity Spot Prices

Cites Work

• Unnamed Item
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Pricing and Hedging Spread Options
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

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