State price densities implied from weather derivatives

DOI10.1016/j.insmatheco.2015.05.001zbMath1348.62238OpenAlexW2108445798MaRDI QIDQ495457

Huei-Wen Teng, Brenda López-Cabrera, Wolfgang Karl Härdle

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2013-026.pdf

zbMATH Keywords

quadraturetemperature derivativesBayesianstate price densityweather derivativesCDDdata sparsityHDD

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL

Cites Work

• Nonparametric state price density estimation using constrained least squares and the bootstrap
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• On Monte Carlo methods for estimating ratios of normalizing constants
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• Nonparametric risk management and implied risk aversion
• Option Pricing With Model-Guided Nonparametric Methods
• DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
• The Implied Market Price of Weather Risk
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