Pricing temperature derivatives with a filtered historical simulation approach
Rui Zhou, Johnny Siu-Hang Li and Jeffrey Pai
| Year of publication: |
2019
|
|---|---|
| Authors: | Rui, Zhou ; Li, Johnny Siu-Hang ; Pai, Jeffrey |
| Subject: | filtered historical simulation | risk-neutral pricing | Weather derivatives | Derivat | Derivative | Simulation | Optionspreistheorie | Option pricing theory | Wetter | Weather | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2019.1602068 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207113