An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing
The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures....
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| Format: | Others |
| Language: | English |
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Linköpings universitet, Tillämpad matematik
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-180411 |