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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-01-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020300578 |