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- W2597724362 abstract "Abstract In this study we discuss the pricing of weather derivatives whose underlying weather variable is temperature. The dynamics of temperature in this study follows a two state regime switching model with a heteroskedastic mean reverting process as the base regime and a shifted regime defined by Brownian motion with nonzero drift. We develop mathematical formulas for pricing futures and option contracts on heating degree days (HDDs), cooling degree days (CDDs) and cumulative average temperature (CAT) indices. The local volatility nature of the model in the base regime captures very well the dynamics of the underlying process, thus leading to a better pricing processes for temperature derivatives contracts written on various index variables. We use the Monte Carlo simulation method for pricing weather derivatives call option contracts." @default.
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- W2597724362 date "2018-03-01" @default.
- W2597724362 modified "2023-09-22" @default.
- W2597724362 title "Weather derivatives pricing using regime switching model" @default.
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- W2597724362 doi "https://doi.org/10.1515/mcma-2018-0002" @default.
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