On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
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Publication:4811676
DOI10.1080/1350486032000174628zbMath1087.91020OpenAlexW2033536786MaRDI QIDQ4811676
Publication date: 6 September 2004
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486032000174628
fractional Brownian motionoption pricingwhite noise analysispartial differential equationarbitrageweather derivatives
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)
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