Monte Carlo methods for pricing weather derivatives

In the work we will describe detailed theoretical foundation of the variance redaction techniques of Monte Carlo method for the pricing weather derivatives and presented the results of some numerical experiments.

Saved in:
Bibliographic Details
Main Authors: Rasulov, Abdujabar, Raimova, Gulnora
Format: Conference Proceeding
Language:English
Subjects:
Monte Carlo simulation
Pricing
Weather
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In the work we will describe detailed theoretical foundation of the variance redaction techniques of Monte Carlo method for the pricing weather derivatives and presented the results of some numerical experiments.
ISSN:0094-243X
1551-7616
DOI:10.1063/5.0057009