DOAJ Open Access 2020

On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion

Javed Hussain Pervez Ali

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Abstrak

In this paper, our focus is to derive the estimates satisfied by the risk-neutral prices of a class of weather derivatives, contingent upon temperature which satisfies G-stochastic differential equation driven by nonlinear G-Brownian motion.

Topik & Kata Kunci

Probabilities. Mathematical statistics Analysis

Penulis (2)

Javed Hussain

Pervez Ali

Format Sitasi

APA MLA BibTeX

Hussain, J., Ali, P. (2020). On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion. http://etamaths.com/index.php/ijaa/article/view/2239

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Informasi Jurnal

Tahun Terbit: 2020
Sumber Database: DOAJ
Akses: Open Access ✓