Weather derivatives pricing using regime switching model
type: Item
instance of: scholarly article
title: Weather derivatives pricing using regime switching model
zbMATH Open document ID: 1408.91212
author: Emmanuel Evarest
author: Fredrik Berntsson
author: Martin Singull
author: Xiangfeng Yang
published in: Monte Carlo Methods and Applications
publication date: 2018-04-25T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6864372
zbMATH Keywords: weather derivatives
zbMATH Keywords: arbitrage-free pricing
zbMATH Keywords: regime switching
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: mcma-2018-0002
OpenAlex ID: W2597724362
cites work: On modelling and pricing weather derivatives
cites work: Modeling and Forecasting CAT and HDD Indices for Weather Derivative Pricing
cites work: On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
cites work: Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
cites work: The volatility of temperature and pricing of weather derivatives
cites work: Regime switching in foreign exchange rates: Evidence from currency option prices
cites work: Pricing Weather Derivatives Using the Indifference Pricing Approach
cites work: Dynamical pricing of weather derivatives
cites work: Q5505177
cites work: Pricing weather derivatives by marginal value
cites work: Q4139463
cites work: A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
cites work: The Implied Market Price of Weather Risk
cites work: Efficient estimation of Markov regime-switching models: an application to electricity spot prices
cites work: Mathematical models of financial derivatives
cites work: A tree approach to options pricing under regime-switching jump diffusion models
cites work: Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
cites work: A New Approach to Estimating Switching Regressions
cites work: Q5444939
cites work: Temperature models for pricing weather derivatives
cites work: Pricing American options under multi-state regime switching with an efficientL- stable method
cites work: Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
DOI: 10.1515/MCMA-2018-0002
description: scientific article; zbMATH DE number 6864372