Pricing basket weather derivatives on rainfall and temperature processes
Year of publication: |
2019
|
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Authors: | Dzupire, Nelson Christopher ; Ngare, Philip ; Odongo, Leo |
Subject: | incomplete market | basket option | indifference price | utility function | dynamic programming principle | Hamilton Jacobi-Bellman equations | Wetter | Weather | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Nutzenfunktion | Utility function | Dynamische Optimierung | Dynamic programming |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs7030035 [DOI] hdl:10419/257633 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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