Pricing and hedging of temperature derivatives in a model with memory (Q6587514)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7896869
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing and hedging of temperature derivatives in a model with memory |
scientific article; zbMATH DE number 7896869 |
Statements
Pricing and hedging of temperature derivatives in a model with memory (English)
0 references
14 August 2024
0 references
temperature futures pricing
0 references
temperature forecast curve
0 references
minimal variance hedging
0 references
generalized Langevin equation
0 references
stochastic differential equation
0 references
Lévy process
0 references
Malliavin calculus
0 references
Clark-Ocone formula
0 references
stochastic maximum principle
0 references
Fourier/Laplace transform
0 references
0 references
0 references
0 references
0.8555188775062561
0 references
0.8534523248672485
0 references
0.8247746229171753
0 references
0.8216543197631836
0 references
0.821234941482544
0 references
