Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation.
Peng LiXiaoping LuSong-Ping ZhuPublished in: Comput. Math. Appl. (2020)
Keyphrases
- black scholes
- option pricing
- risk aversion
- real option
- convertible bonds
- utility function
- financial markets
- risk neutral
- financial crisis
- risk averse
- stock exchange
- expected utility
- decision making
- dynamic pricing
- optimal pricing
- pricing model
- risk evaluation
- risk management
- stock price
- long term
- stock market
- pricing strategies
- fuzzy numbers
- decision makers
- higher order
- decision analysis
- information goods
- risk factors
- weather conditions
- pricing mechanism