Variance reduction methods at the pricing of weather options

Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature

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Year of publication:	2011
Authors:	Raimova, Gulnora
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 21.2011, 1, p. 3-15
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	Weather options \| stochastic model \| option pricing \| Monte Carlo method \| statistical modeling \| variance reduction

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Extent:	application/pdf
Type of publication:	Article
Language:	Russian
Classification:	C63 - Computational Techniques ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018550