Pricing and hedging of temperature derivatives in a model with memory (Q6587514)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing and hedging of temperature derivatives in a model with memory |
scientific article; zbMATH DE number 7896869
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging of temperature derivatives in a model with memory |
scientific article; zbMATH DE number 7896869 |
Statements
Pricing and hedging of temperature derivatives in a model with memory (English)
0 references
14 August 2024
0 references
temperature futures pricing
0 references
temperature forecast curve
0 references
minimal variance hedging
0 references
generalized Langevin equation
0 references
stochastic differential equation
0 references
Lévy process
0 references
Malliavin calculus
0 references
Clark-Ocone formula
0 references
stochastic maximum principle
0 references
Fourier/Laplace transform
0 references
0 references
0 references
