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  • Search: subject:"Daily simulation"
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Year of publication
Subject
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Daily simulation 2 Derivative markets 2 Hedging 2 Precipitation 2 Rainfall 2 Risk analysis 2
Online availability
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Undetermined 2
Type of publication
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Article 2
Type of publication (narrower categories)
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research-article 1
Language
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English 1 Undetermined 1
Author
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Stowasser, Markus 2
Published in...
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Journal of Risk Finance 1 The Journal of Risk Finance 1
Source
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RePEc 1 Other ZBW resources 1
Showing 1 - 2 of 2
Cover Image
Modelling rain risk: a multi‐order Markov chain model approach
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 …
Persistent link: https://www.econbiz.de/10014901595
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Cover Image
Modelling rain risk: a multi-order Markov chain model approach
Stowasser, Markus - In: Journal of Risk Finance 13 (2011) January, pp. 45-60
for the daily simulation of precipitation. The influence of the order of the Markov chain model to simulate daily …. 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 months …
Persistent link: https://www.econbiz.de/10009415547
Saved in:
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