A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
DOI10.1016/j.ejor.2013.07.015zbMath1305.91228OpenAlexW2046053994MaRDI QIDQ2255974
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
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)
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- 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
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- 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
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