Exploring the financial risk of a temperature index: a fractional integrated approach
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Publication:2288969
DOI10.1007/s10479-018-3063-0zbMath1430.91107OpenAlexW2892841875MaRDI QIDQ2288969
Giulia Rotundo, Roy Cerqueti, Rosella Castellano
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://openresearch.lsbu.ac.uk/download/ff8c18e6e1d527afafea2d53b1376abda70933f3b9bf5684a948fd08bd845990/248630/ANOR_revision2_20072018.pdf
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
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