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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...

Deskribapen osoa

Gorde:
Egile Nagusiak: Tesfahun Berhane, Nurilign Shibabaw, Gurju Awgichew, Tesfaye Kebede
Formatua: Artigo
Hizkuntza:Inglês
Argitaratua: Elsevier 2020-01-01
Saila:Heliyon
Gaiak:
Applied mathematics
Rainfall
Call option
Weather derivative
Put option
Analogue Year
Sarrera elektronikoa:http://www.sciencedirect.com/science/article/pii/S2405844020300578
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