A comparison of regime-switching temperature modeling approaches for applications in weather derivatives

DOI10.1016/j.ejor.2013.07.015zbMath1305.91228OpenAlexW2046053994MaRDI QIDQ2255974

Yanyan Li

Publication date: 18 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.07.015

zbMATH Keywords

regime-switching modelsweather derivativeslattice approaches

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Geostatistics (86A32) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (13)

Putting a price tag on temperature ⋮ Mitigating geographical basis risk of weather derivatives using spatial-temporal regime-switching temperature model ⋮ A viscosity solution method for optimal stopping problems with regime switching ⋮ Clustering financial time series: new insights from an extended hidden Markov model ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Weather rebate contracts for different risk attitudes of supply chain members ⋮ Regime-switching temperature dynamics model for weather derivatives ⋮ Weather derivatives pricing using regime switching model ⋮ Robust portfolio selection problem under temperature uncertainty ⋮ A regime switching model for temperature modeling and applications to weather derivatives pricing ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

Uses Software

• RATS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Pricing swing options in the electricity markets under regime-switching uncertainty
• Improving Supply Chain Performance and Managing Risk Under Weather-Related Demand Uncertainty
• On modelling and pricing weather derivatives
• Pricing weather derivatives by marginal value
• Dynamical pricing of weather derivatives
• The volatility of temperature and pricing of weather derivatives
• Option pricing: A simplified approach
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Computational Science - ICCS 2004
• Weather Forecasting for Weather Derivatives

This page was built for publication: A comparison of regime-switching temperature modeling approaches for applications in weather derivatives