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- W1657904707 abstract "Pricing formulas for components of a portfolio of temperature-based weather derivatives, as well as the corresponding hedging formula, are derived using the recent general theory of neutral and indifference pricing and hedging in incomplete markets. The derived pricing formulas have the flexibility to account for the total exposure, i.e., for the number of weather derivatives contracts held. In particular, we obtain a structural form for the market price of risk (the risk premium)." @default.
- W1657904707 created "2016-06-24" @default.
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- W1657904707 date "2014-01-01" @default.
- W1657904707 modified "2023-09-27" @default.
- W1657904707 title "Pricing portfolios of contracts on cumulative temperature with risk premium determination" @default.
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- W1657904707 doi "https://doi.org/10.3233/rda-140102" @default.
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