| dc.date.accessioned | 2013-04-25T10:00:29Z | |
| dc.date.available | 2013-04-25T10:00:29Z | |
| dc.date.issued | 2013 | en_US |
| dc.date.submitted | 2013-04-19 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/35413 | |
| dc.description.abstract | The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. Finally we put our simulation scheme to work for simulating the price of path dependent options. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | APPROXIMATING LÉVY SEMISTATIONARY PROCESSES VIA FOURIER METHODS IN THE CONTEXT OF POWER MARKETS | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2013-04-19 | en_US |
| dc.rights.holder | Copyright 2013 The Author(s) | |
| dc.creator.author | Eyjolfsson, Heidar | en_US |
| dc.creator.author | Benth, Fred Espen | en_US |
| dc.creator.author | Veraart, Almut E. D. | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.cristin | 1023922 | en_US |
| dc.identifier.urn | URN:NBN:no-33858 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 178520 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/35413/1/FourierNumPreprint.pdf | |