Pricing and hedging of temperature derivatives in a model with memory

DOI10.1142/S0219024923500310MaRDI QIDQ6587514zbMATH OpenFDO

Authors Markus Heß

Publication date 14 August 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024923500310

zbMATH Keywords

Clark-Ocone formulaFourier/Laplace transformgeneralized Langevin equationLévy processMalliavin calculusminimal variance hedgingstochastic differential equationstochastic maximum principletemperature forecast curvetemperature futures pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Dynamical pricing of weather derivatives
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• The volatility of temperature and pricing of weather derivatives
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