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Found 7 papers, 1 papers with code
Exchange option pricing under variance gamma-like models
In this article we focus on the pricing of exchange options when the dynamic of logprices follows either the well-known variance gamma or the recent variance gamma++ process introduced in Gardini et al [19].
Normal Tempered Stable Processes and the Pricing of Energy Derivatives
In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process.
Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type
In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process.
A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
Using the concept of self-decomposable subordinators introduced in Gardini et al. [11], we build a new bivariate Normal Inverse Gaussian process that can capture stochastic delays.
Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives
In this study we define a three-step procedure to relate the self-decomposability of the stationary law of a generalized Ornstein-Uhlenbeck process to the law of the increments of such processes.
Correlating Lévy processes with Self-Decomposability: Applications to Energy Markets
Based on the concept of self-decomposability, we extend some recent multivariate L\'evy models built using multivariate subordination with the aim of capturing situations in which a sudden event in one market is propagated onto related markets after a certain stochastic time delay.
Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices.
