Groll, Andreas; López-Cabrera, Brenda; Meyer-Brandis, Thilo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...
