Exact simulation of variance gamma-related ou processes: application to the pricing of energy derivatives
P Sabino - Applied Mathematical Finance, 2020 - Taylor & Francis
In this study we use a three-step procedure that relates the self-decomposability of the
stationary law of a generalized Ornstein-Uhlenbeck process to the transition law of such …
stationary law of a generalized Ornstein-Uhlenbeck process to the transition law of such …
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
P Sabino, N Cufaro Petroni - Applied Mathematical Finance, 2021 - Taylor & Francis
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price
spikes, which result in demand for derivative products which protect the holder against high …
spikes, which result in demand for derivative products which protect the holder against high …
Pricing energy derivatives in markets driven by tempered stable and CGMY processes of Ornstein–Uhlenbeck type
P Sabino - Risks, 2022 - mdpi.com
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. To this end, we …
follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process. To this end, we …
Normal tempered stable processes and the pricing of energy derivatives
P Sabino - SIAM Journal on Financial Mathematics, 2023 - SIAM
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. Such …
is modeled with a normal tempered stable driven Ornstein–Uhlenbeck process. Such …