Dynamical pricing of weather derivatives
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Publication:4646781
DOI10.1088/1469-7688/2/3/302zbMath1405.91595OpenAlexW2162527597MaRDI QIDQ4646781
Mihail Zervos, Joanna Syroka, Dorje C. Brody
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/2/3/302
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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