Pricing temperature derivatives with a filtered historical simulation approach
Year of publication: |
2019
|
---|---|
Authors: | Rui, Zhou ; Li, Johnny Siu-Hang ; Pai, Jeffrey |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 25.2019, 15, p. 1462-1484
|
Subject: | filtered historical simulation | risk-neutral pricing | Weather derivatives | Simulation | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Wetter | Weather |
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