Pricing weather derivatives by marginal value

DOI10.1080/713665730zbMath1405.91607OpenAlexW2169736048MaRDI QIDQ4646487

Mark H. A. Davis

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665730

zbMATH Keywords

shadow pricegeometric Brownian motionpricing weather derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (13)

Putting a price tag on temperature ⋮ Assessing and hedging the cost of unseasonal weather: case of the apparel sector ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures ⋮ Modelling and forecasting wind speed intensity for weather risk management ⋮ Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives ⋮ Application of continuous stochastic processes in energy market models ⋮ Weather derivatives pricing using regime switching model ⋮ Dynamical pricing of weather derivatives ⋮ A comparison of regime-switching temperature modeling approaches for applications in weather derivatives ⋮ Credit portfolio selection with decaying contagion intensities ⋮ Exploring the financial risk of a temperature index: a fractional integrated approach ⋮ Pricing Weather Derivatives Using the Indifference Pricing Approach

This page was built for publication: Pricing weather derivatives by marginal value