MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS
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Publication:2836217
DOI10.1142/S0219024916500515zbMath1396.91733MaRDI QIDQ2836217
Publication date: 8 December 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic differential equationoption pricingwavelet transformenlargement of filtrationweather forecastpure jump Lévy processanticipative stochastic calculusarithmetic modelforward-looking informationinformation premiumprecipitation derivativeweather market
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Related Items (9)
THE VIX AND FUTURE INFORMATION ⋮ PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS ⋮ The stochastic Leibniz formula for Volterra integrals under enlarged filtrations ⋮ VIX MODELING FOR A MARKET INSIDER ⋮ Pricing electricity forwards under future information on the stochastic mean-reversion level ⋮ Enlarged filtrations and indistinguishable processes ⋮ AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL ⋮ A new approach to wind power futures pricing ⋮ An anticipative stochastic minimum principle under enlarged filtrations
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- PRICING PRECIPITATION BASED DERIVATIVES
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