Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing

Author: Zapranis A.   Alexandridis A.  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.15, Iss.4, 2008-08, pp. : 355-386

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract