| Autor: |
Ali Zulfiqar, Hussain Javed, Bano Zarqa |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
|
| Zdroj: |
Nonlinear Engineering, Vol 12, Iss 1, Pp 57-64 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2192-8029 |
| DOI: |
10.1515/nleng-2022-0291 |
| Popis: |
This article deals with the problem of finding a pricing formula for weather derivatives based on temperature dynamics through an uncertain differential equation. Weather-related derivatives are being employed more frequently in alternative risk portfolios with multiple asset classes. We first propose an uncertain process that uses data from the past to describe how the temperature has changed. Despite this, pricing these assets is difficult since it necessitates an incomplete market framework. The volatility is described by a truncated Fourier series, and we provide a novel technique for calculating this constant using Monte Carlo simulations. With this approach, the risk is assumed to have a fixed market price. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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