| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077085 | Insurance: Mathematics and Economics | 2012 | 8 Pages |
Abstract
⺠We model the daily average temperature via an extended Ornstein Uhlenbeck process. ⺠We assume that the residuals are driven by a Levy process. ⺠We compare the prices of January 2010 out of the money options for Ljubljana and Maribor. ⺠Prices obtained using NIG and VG distributed disturbances fit well to the results obtained by bootstrapping the residuals.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
AleÅ¡ AhÄan,