Putting a price tag on temperature

DOI10.1007/S10287-017-0291-8zbMath1417.91517OpenAlexW2757057995MaRDI QIDQ1616809

Heng Xiong, Rogemar S. Mamon

Publication date: 7 November 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-017-0291-8

zbMATH Keywords

filteringmaximum likelihoodregime-switching modelonline parameter estimationchange of reference probability measuretemperature-based derivatives

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Meteorology and atmospheric physics (86A10)

Related Items (1)

Online estimation for a predictive analytics platform with a financial-stability-analysis application

Cites Work

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