Extending mean-reversion jump diffusion
http://www.erasmusenergy.com/articles/139/1/Extending-mean-reversion-jump-diffusion/Page1.html
Les Clewlow
By Les Clewlow
Published on 12/29/2007
Keywords:
Published in: Energy Risk
Publication year:
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski
Simulating mean reversion jump diffusion spot price processes for pricing energy derivatives.
Published in: Energy Risk
Publication year:
Co-author 1: Chris Strickland
Co-author 2: Vince Kaminski
Simulating mean reversion jump diffusion spot price processes for pricing energy derivatives.
Extending mean-reversion jump diffusion
Simulating mean reversion jump diffusion spot price processes for pricing energy derivatives.