On modelling and pricing weather derivatives

Applied Mathematical Finance

Volumn 9, Issue 1, 2002, Pages 1-20

  Alaton, Peter ^a   Djehiche, Boualem ^b   Stillberger, David ^c  

^a Algorithmica Research AB   (Sweden)

^b ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^c Tredje AP fonden   (Sweden)

Author keywords

Approximation Formula; Historical Data; Monte Carlo Simulation; Pricing Model; Stochastic Process; Weather Derivatives

Indexed keywords

EID: 0345648618     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860210132897     Document Type: Article

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