Pricing weather derivatives by marginal value

DOI10.1080/713665730zbMath1405.91607MaRDI QIDQ4646487

Mark H. A. Davis

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665730

zbMATH Keywords

shadow price; geometric Brownian motion; pricing weather derivatives

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures, Dynamical pricing of weather derivatives, Pricing Weather Derivatives Using the Indifference Pricing Approach, Credit portfolio selection with decaying contagion intensities, Assessing and hedging the cost of unseasonal weather: case of the apparel sector, Putting a price tag on temperature, Weather derivatives pricing using regime switching model, Modelling and forecasting wind speed intensity for weather risk management, Application of continuous stochastic processes in energy market models, A comparison of regime-switching temperature modeling approaches for applications in weather derivatives, Exploring the financial risk of a temperature index: a fractional integrated approach, Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives, Quantifying Model Uncertainties in Complex Systems