On Modelling and Pricing Rainfall Derivatives with Seasonality
Year of publication: |
2011
|
---|---|
Authors: | Leobacher, Gunther ; Ngare, Philip |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 18.2011, 1, p. 71-91
|
Publisher: |
Taylor & Francis Journals |
Subject: | Rainfall derivatives | Seasonality | Discrete-time Markov control process | Utility indifference pricing | Monte Carlo methods |
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