Pricing weather derivatives in an uncertain environment
This article deals with the problem of finding a pricing formula for weather derivatives based on temperature dynamics through an uncertain differential equation. Weather-related derivatives are being employed more frequently in alternative risk portfolios with multiple asset classes. We first propo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2023-05-01
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| Series: | Nonlinear Engineering |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/nleng-2022-0291 |