Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures
Year of publication: |
2006
|
---|---|
Authors: | Hamisultane, Hélène |
Institutions: | HAL |
Subject: | weather derivatives | incomplete market | long memory | ARFIMA process | FIGARCH process | LMSV process | fractional Brownian motion | PDE | Monte-Carlo simulations |
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