par Hess, Markus
Référence International journal of theoretical and applied finance, 19, 7, 1650051
Publication Publié, 2016-11
Article révisé par les pairs
Titre:
  • Modeling and pricing precipitation derivatives under weather forecasts
Auteur:Hess, Markus
Informations sur la publication:International journal of theoretical and applied finance, 19, 7, 1650051
Statut de publication:Publié, 2016-11
Sujet CREF:Economie
Finance internationale
Mots-clés:Anticipative stochastic calculus
arithmetic model
enlargement of filtration
forward-looking information
information premium
option pricing
precipitation derivative
pure jump Lévy process
stochastic differential equation
wavelet transform
weather forecast
weather market
Note générale:SCOPUS: ar.j
Langue:Anglais
Identificateurs:urn:issn:0219-0249
info:doi/10.1142/S0219024916500515
info:scp/84994491641
RePEc:ulb:ulbeco:2013/247729