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Pricing portfolios of contracts on cumulative temperature with risk premium determination - MaRDI portal

Pricing portfolios of contracts on cumulative temperature with risk premium determination

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Publication:3119631

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DOI10.3233/RDA-140102zbMath1409.91221OpenAlexW1657904707MaRDI QIDQ3119631

Ahmet Göncü, Srdjan D. Stojanovic

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-140102

zbMATH Keywords

hedging indifference pricing neutral pricing cumulative average temperatures portfolios of weather derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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