Model based Monte Carlo pricing of energy and temperature Quanto options

Massimiliano Caporin; Juliusz Preś; Hipolit Torro

Year of publication:	2012
Authors:	Caporin, Massimiliano ; Preś, Juliusz ; Torro, Hipolit
Published in:	Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 5, p. 1700-1712
Subject:	Weather derivatives \| Quanto option pricing \| Derivative pricing \| Model simulation and forecast \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Wetter \| Weather \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Simulation \| Stochastischer Prozess \| Stochastic process \| Prognoseverfahren \| Forecasting model

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