A Simple Model for Trading Climate Risk
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- Bouchard, Bruno & Touzi, Nizar, 2004. "Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 175-206, June.
- M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308, March.
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- Lee, Yongheon & Oren, Shmuel S., 2009. "An equilibrium pricing model for weather derivatives in a multi-commodity setting," Energy Economics, Elsevier, vol. 31(5), pages 702-713, September.
- Javier Orlando Pantoja Robayo & Andrea Roncoroni, 2012. "Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results," DOCUMENTOS DE TRABAJO CIEF 010668, UNIVERSIDAD EAFIT.
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