Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation

DOI10.1016/j.camwa.2020.02.007zbMath1447.91177OpenAlexW3009925355MaRDI QIDQ2192513

Peng Li, Xiaoping Lu, Song-Ping Zhu

Publication date: 17 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2020.02.007

zbMATH Keywords

Ornstein-Uhlenbeck processmarket price of riskPDE approachweather derivativeutility indifference valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Numerical solutions of an option pricing rainfall weather derivatives model

Cites Work

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• Pricing forward-start variance swaps with stochastic volatility
• Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process
• A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
• CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS
• On modelling and pricing weather derivatives
• Weather Forecasting for Weather Derivatives

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