The volatility of temperature and pricing of weather derivatives
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Publication:5433101
DOI10.1080/14697680601155334zbMath1151.91481OpenAlexW1988178181MaRDI QIDQ5433101
Fred Espen Benth, Jūratė Šaltytė Benth
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10566
seasonalitystochastic processesmean-reversionweather derivativestemperature dynamicsheating degree-day futuresoptions on temperature
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
- On modelling and pricing weather derivatives
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- Weather Forecasting for Weather Derivatives
