PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS (Q4584698)
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scientific article; zbMATH DE number 6931440
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| English | PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS |
scientific article; zbMATH DE number 6931440 |
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PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS (English)
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4 September 2018
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temperature derivative
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CAT futures
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weather forecast
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option pricing
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optimal portfolio selection
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information premium
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minimal variance hedging
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enlarged filtration
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Ornstein-Uhlenbeck process
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stochastic differential equation
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stochastic minimum principle
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stochastic control
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0.93994355
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0.9226264
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0.92089885
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0.9203297
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0.9142436
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0.9078865
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0.90262175
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0.89798933
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