Lévy Processes and Path Integral Methods with Applications in the Energy Markets
The objective of this thesis was to explore methods for valuation of derivatives in energy markets. One aim was to determine whether the Normal inverse Gaussian distributions would be better suited for modelling energy prices than normal distributions. Another aim was to develop working implementati...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for fysikk
2011
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-13730 |