On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion
In this paper, our focus is to derive the estimates satisfied by the risk-neutral prices of a class of weather derivatives, contingent upon temperature which satisfies G-stochastic differential equation driven by nonlinear G-Brownian motion.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Etamaths Publishing
2020-11-01
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| Series: | International Journal of Analysis and Applications |
| Online Access: | http://etamaths.com/index.php/ijaa/article/view/2239 |