Pricing Temperature Derivatives under Weather Forecasts

We investigate the pricing of temperature derivatives under weather forecasts modeled by enlarged filtrations. We also treat option pricing and optimal portfolio selection in temperature markets with future information. We finally prove an anticipative sufficient stochastic minimum principle and apply the result to minimal variance hedging of temperature derivatives under weather forecasts

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Year of publication:	2020
Authors:	Hess, Markus
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Wetter \| Weather \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Prognoseverfahren \| Forecasting model

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Extent:	1 Online-Ressource (29 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance (IJTAF), Vol. 21, No. 5, 1850031, August 2018 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 17, 2018 erstellt
Other identifiers:	10.2139/ssrn.3144248 [DOI]
Classification:	C00 - Mathematical and Quantitative Methods. General ; C53 - Forecasting and Other Model Applications ; D52 - Incomplete Markets ; D80 - Information and Uncertainty. General ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012852642