Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives
Year of publication: |
2011
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Authors: | Härdle, Wolfgang Karl ; Osipenko, Maria |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Wetter | Finanzderivat | Region | Optionspreistheorie | Portfolio-Management | China | rainfall derivatives | equilibrium pricing | space-time Markov model |
Series: | SFB 649 Discussion Paper ; 2011-055 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 66730407X [GVK] hdl:10419/56693 [Handle] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Pricing Chinese rain : a multisite mulit-period equilibrium pricing model for rainfall derivatives
Härdle, Wolfgang, (2011)
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Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
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