Lie Symmetry Analysis on Pricing Weather Derivatives by Partial Differential Equations

Author:

Nhangumbe Clarinda,Fredericks Ebrahim,Canhanga Betuel

Publisher

Springer International Publishing

Reference30 articles.

1. Alaton, P., Djehiche, B., Stillberger, D.: On modelling and pricing weather derivatives. Appl. Math. Financ. 9, 1–20 (2002)

2. Balter, A., Pelsser, A.: Pricing and Hedging in Incomplete Markets with Model Uncertainty. Netspar discussion paper (2018)

3. Brix, A., Jewson, S., Ziehmann, C.: Weather derivative modelling and valuation: a statistical perspective. In: Risk Books (ed.) Climate Risk and the Weather Market, London, 127–150 (2002)

4. Broni-Mensah, E.: Numerical Solutions of Weather Derivatives and Other Incomplete Market Problems. The University of Manchester, United Kingdom (2012)

5. Cao, M., Wei, J.: Weather derivatives valuation and market price of weather risk. J. Futur. Mark. Futur. Options Other Deriv. Prod. 24, 1065–1089 (2004)

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