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20152026
most citedMRL order, log-concavity and an application to peacocks

8 citations · 20 across the 13 of their papers we have counts for

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q-fin.PR2019

European Option Pricing of electricity under exponential functional of Lévy processes with Price-Cap principle

Martin Kegnenlezom, Patrice Takam Soh, Antoine-Marie Bogso +1

We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump Lévy…