PRICING PRECIPITATION BASED DERIVATIVES

DOI10.1142/S0219024905003311zbMath1137.91435OpenAlexW2126587896MaRDI QIDQ5714653

Pavel Diko, René A. Carmona

Publication date: 15 December 2005

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

Full work available at URL: https://doi.org/10.1142/s0219024905003311

zbMATH Keywords

maximum likelihood estimationprecipitation modelingutility indifference pricingweather derivativesjump Markov processes

Mathematics Subject Classification ID

Related Items (6)

A Lévy-driven rainfall model with applications to futures pricing ⋮ A Poisson-gamma model for zero inflated rainfall data ⋮ Numerical solutions of an option pricing rainfall weather derivatives model ⋮ On Modelling and Pricing Rainfall Derivatives with Seasonality ⋮ A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing ⋮ MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS

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