Pricing & Hedging of Temperature Derivatives with Memory
A new temperature model based on generalized Langevin equations can predict the risk-neutral price dynamics of temperature derivatives, making it useful for hedging against unfavorable weather conditions, a paper suggests.
Featured in No. 34 on 23 Jan 2024 ·
- Released
- 27 Dec 2022
- First featured
- No. 34 · 23 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4698000
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).