A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk
نویسندگان
چکیده
منابع مشابه
A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk
Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer side in over-the-counter markets. In our model, agents maximise the expected utility of their terminal...
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ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2017
ISSN: 2227-7072
DOI: 10.3390/ijfs5040023