PRICING PRECIPITATION BASED DERIVATIVES
Year of publication: |
2005
|
---|---|
Authors: | CARMONA, RENÉ ; DIKO, PAVEL |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 07, p. 959-988
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Weather derivatives | utility indifference pricing | precipitation modeling | jump Markov processes | maximum likelihood estimation |
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