Pricing weather derivatives by marginal value

DOI10.1080/713665730zbMATH Open1405.91607OpenAlexW2169736048MaRDI QIDQ4646487FDOQ4646487

Authors: 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

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zbMATH Keywords

geometric Brownian motionshadow pricepricing weather derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cited In (21)

• Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
• A fair pricing approach to weather derivatives
• Putting a price tag on temperature
• Pricing weather derivatives using the indifference pricing approach
• Quantifying Model Uncertainties in Complex Systems
• Weather derivatives pricing using regime switching model
• Exploring the financial risk of a temperature index: a fractional integrated approach
• Modeling and pricing in financial markets for weather derivatives
• The implied market price of weather risk
• Assessing and hedging the cost of unseasonal weather: case of the apparel sector
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Modelling and forecasting wind speed intensity for weather risk management
• Credit portfolio selection with decaying contagion intensities
• Applications to weather derivatives and energy contracts
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
• Dynamical pricing of weather derivatives
• A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
• On modelling and pricing weather derivatives
• Application of continuous stochastic processes in energy market models
• Large-Scale Scientific Computing

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