On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (Q4811676): Difference between revisions
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Latest revision as of 01:11, 20 March 2024
scientific article; zbMATH DE number 2096906
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion |
scientific article; zbMATH DE number 2096906 |
Statements
On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (English)
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6 September 2004
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weather derivatives
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option pricing
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partial differential equation
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fractional Brownian motion
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arbitrage
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white noise analysis
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