A regime switching model for temperature modeling and applications to weather derivatives pricing
Aysun Türkvatan, Azize Hayfavi, Tolga Omay
| Year of publication: |
2020
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|---|---|
| Authors: | Türkvatan, Aysun ; Hayfavi, Azize ; Omay, Tolga |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 1, p. 1-42
|
| Subject: | Regime-switching | Markov chain | Expectation-maximization algorithm | Pricing | Weather derivatives | Markov-Kette | Wetter | Weather | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-019-00242-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012239952