On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
Work
Year: 2003
Type: article
Abstract: We derive an arbitrage‐free pricing dynamics for claims on temperature, where the temperature follows a fractional Ornstein–Uhlenbeck process. Using a fractional white noise calculus, one can express ... more
Source: Applied Mathematical Finance
Author Fred Espen Benth
Institution University of Oslo
Cites: 8
Cited by: 89
Related to: 10
FWCI: 2.374
Citation percentile (by year/subfield): 95.95
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Climate action
Open Access status: green