Modeling Temperature and Pricing Weather Derivatives Based on Temperature
This study first proposes a temperature model to calculate the temperature indices upon which temperature-based derivatives are written. The model is designed as a mean-reverting process driven by a Levy process to represent jumps and other features of temperature. Temperature indices are mainly mea...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
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| Series: | Advances in Meteorology |
| Online Access: | http://dx.doi.org/10.1155/2017/3913817 |
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