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  • Search: subject:"Conditional Esscher transform"
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Subject
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Derivat 1 Derivative 1 Modellierung 1 Option pricing theory 1 Optionspreistheorie 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Scientific modelling 1 Statistical distribution 1 Statistische Verteilung 1 Wind derivative 1 Wind energy 1 Windenergie 1 conditional Esscher transform 1 generalized hyperbolic distribution 1 model risk 1 risk-neutral pricing 1 wind speed modeling 1
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Free 1
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Article 1
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1
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Gracianti, Giovani 1 Li, Johnny Siu-Hang 1 Rui, Zhou 1 Wu, Xueyuan 1
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1
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ECONIS (ZBW) 1
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An assessment of model risk in pricing wind derivatives
Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502
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