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...

Ausführliche Beschreibung

Bibliografische Detailangaben

Hauptverfasser:	Tesfahun Berhane, Nurilign Shibabaw, Gurju Awgichew, Tesfaye Kebede
Format:	Artigo
Sprache:	Inglês
Veröffentlicht:	Elsevier 2020-01-01
Schriftenreihe:	Heliyon
Schlagworte:	Applied mathematics Rainfall Call option Weather derivative Put option Analogue Year
Online-Zugang:	http://www.sciencedirect.com/science/article/pii/S2405844020300578
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