On Modelling and Pricing Rainfall Derivatives with Seasonality

DOI10.1080/13504861003795167zbMath1217.91184OpenAlexW2084981412MaRDI QIDQ3004476

Gunther Leobacher, Philip Ngare

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504861003795167

zbMATH Keywords

seasonalityMonte Carlo methodsutility indifference pricingrainfall derivativesdiscrete time Markov control process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

A Lévy-driven rainfall model with applications to futures pricing ⋮ A note on the pricing of multivariate contingent claims under a transformed-gamma distribution ⋮ A Poisson-gamma model for zero inflated rainfall data ⋮ Numerical solutions of an option pricing rainfall weather derivatives model ⋮ Approaching rainfall-based weather derivatives pricing and operational challenges ⋮ A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing ⋮ MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS

Cites Work

• Unnamed Item
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• PRICING PRECIPITATION BASED DERIVATIVES

This page was built for publication: On Modelling and Pricing Rainfall Derivatives with Seasonality