A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives

A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives

Stochastic processes are employed in this paper to capture the evolution of daily mean temperatures, with the goal of pricing temperature-based weather options. A stochastic harmonic oscillator model is proposed for the temperature dynamics and results of numerical simulations and parameter estimati...

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Bibliographic Details
Main Authors: Alessio Giorgini, Rogemar S. Mamon, Marianito R. Rodrigo
Format: Article
Language:English
Published: MDPI AG 2021-11-01
Series:Mathematics
Subjects:
weather derivatives
stochastic models
temperature
harmonic oscillator
parameter estimation
Online Access:https://www.mdpi.com/2227-7390/9/22/2890

Internet

https://www.mdpi.com/2227-7390/9/22/2890

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