Extracting pricing densities for weather derivatives using the maximum entropy method
Antonios K. Alexandridis, Henryk Gzyl, Enrique ter Horst and German Molina
| Year of publication: |
2021
|
|---|---|
| Authors: | Alexandridis, Antonios K. ; Gzyl, Henryk ; Horst, Enrique ter ; Molina, German |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 72.2021, 11, p. 2412-2428
|
| Subject: | Extracting probability densities | maximum entropy | out-of-sample valuation | temperature options | weather derivatives pricing | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Wetter | Weather | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2020.1796532 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012697323