Weather derivatives and stochastic modelling of temperature

DOI10.1155/2011/576791zbMath1229.91298OpenAlexW2111992602WikidataQ58688923 ScholiaQ58688923MaRDI QIDQ638030

Jūratė Šaltytė Benth, Fred Espen Benth

Publication date: 8 September 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/576791

zbMATH Keywords

stochastic volatilityOrnstein-Uhlenbeck processweather derivativescumulative average temperaturefutures contractstemperature dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Putting a price tag on temperature ⋮ A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures ⋮ Adaptive estimation of intensity in a doubly stochastic Poisson process ⋮ Pricing Quanto Options in Renewable Energy Markets ⋮ Robust portfolio selection problem under temperature uncertainty ⋮ A regime switching model for temperature modeling and applications to weather derivatives pricing ⋮ LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION

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• Weather Forecasting for Weather Derivatives
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