Article ID Journal Published Year Pages File Type
6892190 Computers & Mathematics with Applications 2018 16 Pages PDF
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
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