On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion

Hussain, Javed; Ali, Pervez

doi:10.28924/2291-8639-19-2021-29

Research Article

On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion

Javed Hussain¹*
Pervez Ali²

Sukkur IBA University Pakistan; University of York UK
Sukkur IBA University

* Corresponding author

Abstract

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.

How to Cite

J. Hussain, P. Ali, On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion, Int. J. Anal. Appl. 19 (2021), 29–46. https://doi.org/10.28924/2291-8639-19-2021-29

BibTeX

@article{Hussain2021,
  author  = {Hussain, Javed and Ali, Pervez},
  title   = {On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion},
  journal = {Int. J. Anal. Appl.},
  volume  = {19},
  year    = {2021},
  pages   = {29--46},
  doi     = {10.28924/2291-8639-19-2021-29}
}

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