Stowasser, Markus - In: The Journal of Risk Finance 13 (2011) 1, pp. 45-60
process for the daily simulation of precipitation. The influence of the order of the Markov chain model to simulate daily …‐order model. Clear differences between the daily simulation and the burn method are found when pricing a put option on a rainfall … index. All daily simulation models underestimate the volatility of the monthly rainfall amount especially in the summer …