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

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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Bibliographic Details
Main Authors: Tesfahun Berhane, Nurilign Shibabaw, Gurju Awgichew, Tesfaye Kebede
Format: Article
Language:English
Published: Elsevier 2020-01-01
Series:Heliyon
Subjects:
Applied mathematics
Rainfall
Call option
Weather derivative
Put option
Analogue Year
Online Access:http://www.sciencedirect.com/science/article/pii/S2405844020300578

Internet

http://www.sciencedirect.com/science/article/pii/S2405844020300578

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