Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Best, Peter & Stone, Roger & Sosenko, Olena, 2007. "Climate risk management based on climate modes and indices - the potential in Australian agribusinesses," 101st Seminar, July 5-6, 2007, Berlin Germany 9257, European Association of Agricultural Economists.
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More about this item
Keywordsweather derivatives; incomplete market; long memory; ARFIMA process; FIGARCH process; LMSV process; fractional Brownian motion; PDE; Monte-Carlo simulations;
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