Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process

DOI10.1016/j.camwa.2017.10.030zbMath1409.91243OpenAlexW2771025410MaRDI QIDQ1732382

Peng Li

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.10.030

zbMATH Keywords

PDEOrnstein-Uhlenbeck processconvection-diffusionjump conditionweather derivative

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation, Numerical solutions of an option pricing rainfall weather derivatives model, Cyber loss distribution fitting: a general framework towards cyber bonds and their pricing models, Data driven confidence intervals for diffusion process using double smoothing empirical likelihood

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
• Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
• On modelling and pricing weather derivatives
• Space-Time Approach to Non-Relativistic Quantum Mechanics
• Weather Forecasting for Weather Derivatives
• On Distributions of Certain Wiener Functionals