Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
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Publication:634990
zbMath1221.91057MaRDI QIDQ634990
Publication date: 17 August 2011
Published in: Afrika Statistika (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives ⋮ Weather derivatives and stochastic modelling of temperature ⋮ Application of continuous stochastic processes in energy market models ⋮ Weather derivatives pricing using regime switching model ⋮ A regime switching model for temperature modeling and applications to weather derivatives pricing ⋮ Seasonal time-series modeling and forecasting of monthly mean temperature for decision making in the Kurdistan region of Iraq
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