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. To this end, we first calculate the characteristic function of the transition law of such processes in closed form. This result is ins...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-07-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/10/8/148 |