A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives

Stochastic processes are employed in this paper to capture the evolution of daily mean temperatures, with the goal of pricing temperature-based weather options. A stochastic harmonic oscillator model is proposed for the temperature dynamics and results of numerical simulations and parameter estimati...

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Autores principales: Alessio Giorgini, Rogemar S. Mamon, Marianito R. Rodrigo
Formato: article
Lenguaje:EN
Publicado: MDPI AG 2021
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Acceso en línea:https://doaj.org/article/f7403f2853bf444ba3c2f96fb46ae694
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