On modelling and pricing rainfall derivatives with seasonality

Applied Mathematical Finance

Volumn 18, Issue 1, 2011, Pages 71-91

  Leobacher, Gunther ^a   Ngare, Philip ^b  

^a JOHANNES KEPLER UNIVERSITY LINZ   (Austria)

^b JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS   (Austria)

Author keywords

Discrete time markov control process; Monte carlo methods; Rainfall derivatives; Seasonality; Utility indifference pricing

Indexed keywords

EID: 79951717582     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504861003795167     Document Type: Article

References (6)

1. Benth, F. E. and Proske, F. (2009) Arbitrage-free pricing dynamics of interest rate guarantees based on the utility indifference method. International Journal of Theoretical and Applied Finance, 12(1), pp. 63-82.
2. Carmona, R. and Diko, P. (2005) Pricing precipitation based derivatives. International Journal of Theoretical and Applied Finance, 8(7), pp. 959-988.
3. Glasserman, P. (2004) Monte Carlo Methods in Financial Engineering. Applications of Mathematics 53 (New York: Springer).
4. Thom, H. C. S. (1958) A note on the gamma distribution. American Meteorological Society, 86(4), pp. 112-117.
5. Wilks, D. (1990) Maximum likelihood estimation for the gamma distribution using data containing zeros. Climate, 3(12), pp. 1495-1501.
6. Zapranis, A. and Alexandridis, A. (2008) Modelling the temperature time-dependent speed of mean reversion in the context of weather derivatives pricing. Applied Mathematical Finance, 15(4), pp. 355-386.