Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives

Author:

Ahčan Aleš

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference21 articles.

1. On modelling and pricing weather derivatives;Alaton;Applied Mathematical Finance,2002

2. Optimal design of weather derivatives;Barrieu;ALGO Research,2002

3. Stochastic modelling of temperature variations with a view towards weather derivatives;Benth;Applied Mathematical Finance,2005

4. Benth, F., Saltyte Benth, J., 2005b. The volatility of temperature and pricing of weather derivatives. Working paper, University of Oslo.

5. Dynamical pricing of weather derivatives;Brody;Quantitative Finance,2002

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