Option pricing of weather derivatives based on a stochastic daily rainfall model with Analogue Year component

In this study, we analyzed option pricing of rainfall derivatives based on stochastic daily rainfall model. We used Markov Chain Analogue Year model (MCAY) in order to describe occurrence process of daily rainfall. We have included the Analogue Year (AY) component in the Markov Chain (MC), which is...

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Detalles Bibliográficos
Autores principales: Berhane, Tesfahun, Shibabaw, Nurilign, Awgichew, Gurju, Kebede, Tesfaye
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7002835/
https://www.ncbi.nlm.nih.gov/pubmed/32042965
http://dx.doi.org/10.1016/j.heliyon.2020.e03212

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7002835/
https://www.ncbi.nlm.nih.gov/pubmed/32042965
http://dx.doi.org/10.1016/j.heliyon.2020.e03212

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