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the computation of option prices. …
Persistent link: https://www.econbiz.de/10010709003
Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common …
Persistent link: https://www.econbiz.de/10010905302
Persistent link: https://www.econbiz.de/10010799306
-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the …
Persistent link: https://www.econbiz.de/10010799319
In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...
Persistent link: https://www.econbiz.de/10010706457
In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...
Persistent link: https://www.econbiz.de/10010706604
as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy …
Persistent link: https://www.econbiz.de/10010706980
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...
Persistent link: https://www.econbiz.de/10010707243
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...
Persistent link: https://www.econbiz.de/10010707463
We propose a method for pricing American options whose payoff depends on the moving average of the underlying asset …
Persistent link: https://www.econbiz.de/10010707486