Option Pricing of Weather Derivatives for Seoul

DOI10.4208/EAJAM.171012.061112AzbMath1284.91548OpenAlexW2103698957MaRDI QIDQ5406927

Dongwoo Sheen, Sungwon Shin, Jiwoon Kim

Publication date: 4 April 2014

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.171012.061112a

zbMATH Keywords

market price of riskweather derivatives

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Martingale estimation functions for discretely observed diffusion processes
• On modelling and pricing weather derivatives
• On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
• The volatility of temperature and pricing of weather derivatives

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