On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion

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Javed Hussain, Pervez Ali, On Modelling and Pricing Weather Derivatives Driven by Nonlinear Brownian Motion, Int. J. Anal. Appl., 19 (1) (2021), 29-46.

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Javed Hussain, Pervez Ali

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.

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