Modeling temperature and pricing weather derivatives based on subordinate Ornstein-Uhlenbeck processes
In this paper we employ a time-changed Ornstein-Uhlenbeck (OU) process for modeling temperature and pricing weather derivatives, where the time change process is a Lévy subordinator time changed by a deterministic clock with seasonal activity rate. The drift, diffusion volatility and jumps under the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2020-08-01
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| Series: | Green Finance |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/GF.2020001/fulltext.html |