Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation (Q2192513)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation |
scientific article |
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Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation (English)
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17 August 2020
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weather derivative
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Ornstein-Uhlenbeck process
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utility indifference valuation
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market price of risk
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PDE approach
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