Pricing precipitation based derivatives

International Journal of Theoretical and Applied Finance

Volumn 8, Issue 7, 2005, Pages 959-988

  Carmona, René ^a,b   Diko, Pavel ^c  

^a Princeton University   (United States)

^b Bendheim Center for Finance   (United States)

^c Electrabel SA   (Belgium)

Author keywords

Jump Markov processes; Maximum likelihood estimation; Precipitation modeling; Utility indifference pricing; Weather derivatives

Indexed keywords

EID: 27544438669     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024905003311     Document Type: Article

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