A stochastic volatility model for the valuation of temperature derivatives
Aurélien Alfonsi and Nerea Vadillo
| Year of publication: |
2024
|
|---|---|
| Authors: | Alfonsi, Aurélien ; Vadillo, Nerea |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 35.2024, 4, p. 737-785
|
| Subject: | temperature model | weather derivatives | conditional least squares estimation | stochastic volatility model | Derivat | Derivative | Volatilität | Volatility | Wetter | Weather | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpae013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015333096