Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6892190 | Computers & Mathematics with Applications | 2018 | 16 Pages |
Abstract
In addition, we point out that the PDE approach developed for discretely sampled temperature is essentially equivalent to the Semi-Lagrangian time stepping based method. A corresponding Semi-Lagrangian method is also proposed to price weather derivatives of continuously sampled temperature.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Peng Li,