Regime-switching temperature dynamics model for weather derivatives
DOI10.1155/2018/8534131zbMath1410.91452arXiv1808.04710OpenAlexW2879104668WikidataQ129527523 ScholiaQ129527523MaRDI QIDQ1736306
Dennis Ikpe, Philip Ngare, Samuel Asante Gyamerah
Publication date: 26 March 2019
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.04710
weather derivativesdeseasonalized temperature dynamicstime-varying mean-reversion Lévy regime-switching model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to physics (62P35) Derivative securities (option pricing, hedging, etc.) (91G20) Meteorology and atmospheric physics (86A10)
Related Items (1)
Cites Work
- Unnamed Item
- Heavy-tails and regime-switching in electricity prices
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Dynamic linear models with Markov-switching
- Processes of normal inverse Gaussian type
- Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- On modelling and pricing weather derivatives
- Dynamical pricing of weather derivatives
- The Variance Gamma Process and Option Pricing
- Pricing Weather Derivatives Using the Indifference Pricing Approach
- The volatility of temperature and pricing of weather derivatives
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
This page was built for publication: Regime-switching temperature dynamics model for weather derivatives
