Indifference Pricing of Weather Derivatives
本文档由 纺织服装文库 分享于2010-11-09 01:04
In a mean-variance framework, the authors adopt the indifference pricing approach to valuate the weather derivatives in the context of the marginal changes they cause to the investor s asset portfolio. This approach is based on the expected utility model and produces the indifference (reservation) prices. The fundamental idea for this approach stems from the basic economic ..
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