On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (Q4811676): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
Revision as of 18:30, 5 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)
0 references
6 September 2004
0 references
weather derivatives
0 references
option pricing
0 references
partial differential equation
0 references
fractional Brownian motion
0 references
arbitrage
0 references
white noise analysis
0 references
