On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion

By Fred Espen Benth. 2003

93 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b9cde3f755f46c1616bdc4765becf5cfbe71848c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. J. Šaltytė Benth
2. Fred Espen Benth
3. Steen Koekebakker
4. J. Saltyte-Benth
5. Almut E. D. Veraart
6. Ole E. Barndorff-Nielsen

In Finance

1. J. Šaltytė Benth
2. Fred Espen Benth
3. Steen Koekebakker
4. J. Saltyte-Benth
5. Nina Lange
6. Almut E. D. Veraart
7. Ole E. Barndorff-Nielsen
8. Rafal Weron

Citations in the corpus

• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005, methodology): “The interested reader is referred to Benth and Saltyte-Benth (2003) for a precise statement of the integrability conditions.”
• Putting a Price on Temperature * (2007, methodology): “Benth (2003) calculates an arbitrage-free price dynamics for temperature derivatives based on the fractional Ornstein–Uhlenbeck model in Brody et al. (2002).”