Pricing temperature derivatives under weather forecasts

Markus Hess

Year of publication:	August 2018
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. 21.2018, 5, p. 1-34
Subject:	Termperature derivative \| CAT futures \| weather forecast \| option pricing \| optimal portfolio selection \| information premium \| minimal variance hedging \| enlarged filtration \| Ornstein-Uhlenbeck process \| stochastic differential equation \| stochastic minimum principle \| stochastic control \| Derivat \| Derivative \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Wetter \| Weather \| Hedging \| Portfolio-Management \| Portfolio selection \| 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/S0219024918500310 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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