A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing

DOI10.1016/j.physa.2020.125619OpenAlexW3111581966MaRDI QIDQ2068453

Zhigang Tong, Allen P. Liu

Publication date: 19 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125619

zbMATH Keywords

eigenfunction expansionnonlinear transformationcensored processOU processrainfall derivatives

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Numerical solutions of an option pricing rainfall weather derivatives model

Cites Work

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