Modeling and pricing precipitation derivatives under weather forecasts
Markus Hess
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Hess, Markus |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 7, p. 1-29
|
| Subject: | Anticipative stochastic calculus | stochastic differential equation | enlargement of filtration | information premium | forward-looking information | pure jump Lévy process | arithmetic model | weather market | precipitation derivative | weather forecast | option pricing | wavelet transform | Wetter | Weather | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Prognoseverfahren | Forecasting model | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500515 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011568818