A Multiperiod Equilibrium Pricing Model
We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the no...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/408685 |