dc.date.accessioned | 2015-01-26T14:09:18Z | |
dc.date.available | 2015-01-26T14:09:18Z | |
dc.date.created | 2014-02-10T11:50:49Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Benth, Fred Espen Eyjolfsson, Heidar Veraart, Almut E. D. . Approximating Levy semistationary processes via Fourier methods in the context of power markets. SIAM Journal on Financial Mathematics. 2014, 5(1), 71-98 | |
dc.identifier.uri | http://hdl.handle.net/10852/41912 | |
dc.description.abstract | The present paper discusses simulation of Lévy semistationary (LSS) processes in the context of power markets. A disadvantage of applying numerical integration to obtain trajectories of LSS processes is that such a scheme is not iterative. We address this problem by introducing and analyzing a Fourier simulation scheme for obtaining trajectories of these processes in an iterative manner. Furthermore, we demonstrate that our proposed scheme is well suited for simulation of a wide range of LSS processes, including, in particular, LSS processes indexed by a kernel function which is steep close to the origin. Finally, we put our simulation scheme to work for simulating the price of path-dependent options to demonstrate the advantages of the proposed Fourier simulation scheme.
© 2014, Society for Industrial and Applied Mathematics | en_US |
dc.language | EN | |
dc.language.iso | en | en_US |
dc.title | Approximating Levy semistationary processes via Fourier methods in the context of power markets | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Eyjolfsson, Heidar | |
dc.creator.author | Veraart, Almut E. D. | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1111406 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=SIAM Journal on Financial Mathematics&rft.volume=5&rft.spage=71&rft.date=2014 | |
dc.identifier.jtitle | SIAM Journal on Financial Mathematics | |
dc.identifier.volume | 5 | |
dc.identifier.issue | 1 | |
dc.identifier.startpage | 71 | |
dc.identifier.endpage | 98 | |
dc.identifier.doi | http://dx.doi.org/10.1137/130905320 | |
dc.identifier.urn | URN:NBN:no-46318 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1945-497X | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41912/2/sifin_bev.pdf | |
dc.type.version | PublishedVersion | |