PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS

DOI10.1142/S0219024918500310zbMath1396.91734OpenAlexW2807956517WikidataQ129724702 ScholiaQ129724702MaRDI QIDQ4584698

Markus Hess

Publication date: 4 September 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500310

zbMATH Keywords

stochastic differential equationstochastic controloption pricingOrnstein-Uhlenbeck processoptimal portfolio selectionweather forecaststochastic minimum principleminimal variance hedginginformation premiumenlarged filtrationCAT futurestemperature derivative

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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