Pricing and hedging of temperature derivatives in a model with memory

DOI10.1142/S0219024923500310zbMATH Open1542.91394MaRDI QIDQ6587514

Markus Heß

Publication date: 14 August 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationMalliavin calculusClark-Ocone formulastochastic maximum principleLévy processgeneralized Langevin equationminimal variance hedgingFourier/Laplace transformtemperature forecast curvetemperature futures pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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