Exact Simulation of Variance Gamma-Related OU Processes:...

Applied Mathematical Finance 2020 / 05 Vol. 27; Iss. 3

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

Sabino, Piergiacomo
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Volume:
27
Journal:
Applied Mathematical Finance
DOI:
10.1080/1350486x.2020.1813040
Date:
May, 2020
File:
PDF, 1.04 MB
2020
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