Modelling Environment Changes for Pricing Weather Derivatives

Kabaivanov, Stanimir; Markovska, Veneta

doi:10.1515/saeb-2017-0031

Cited by 6 publications

(3 citation statements)

References 12 publications

(12 reference statements)

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“…The start of a persistence period would be eligible then for further investigation if a decision has given a new general direction. On the other hand, periods of time dominated by return-to-mean behaviour (Kabaivanov and Markovska, 2017) are less likely to be influenced by specific regulations or common decisions.…”

Section: Methodsmentioning

confidence: 99%

Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management

Kabaivanov

Markovska

2019

SAEB

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Management decisions are typically meant to be making a lasting impact, or at least bringing us one step closer to a long-term goal. Yet there are situations where it is hard to link decisions made and results achieved. The problem gets more complex when comparing different backgrounds, as management quality is often assessed either in specific organizational context (Ghoshal and Bartlett, 1994; Coggburn and Schneider, 2003) or in a finite number of case-studies. These methods have been successfully used for a long time in corporate environment (Gong et al., 2018) and for public sector decisions (Eller et al., 2018), but their application is not as easy when facing problems that are affected by multiple economy-wide factors, and/or by variables that are not directly observable. We study the long term impact on management decisions in environmental management by using market information on different instruments used to manage and control environmental pollution and risk. The core reason for choosing this approach is that market data is able to account for economic reasons and capture changes that go beyond the scope of an individual corporation or a public agency.

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Section: Methodsmentioning

confidence: 99%

Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management

Kabaivanov

Markovska

2019

SAEB

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“…1 In computational finance, numerous nonstandard numerical methods are proposed and successfully applied for pricing options. [2][3][4][5][6][7][8][9][10][11][12] Numerical methods are often preferred to closed-form solutions as they could be more easily extended or adapted to satisfy all the financial requirements of the option contracts and continuously changing conditions imposed by financial institutions and over-the-counter market for controlling the trading of derivatives.…”

Section: Introductionmentioning

confidence: 99%

A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes

Sobhani

Milev

2022

Math Methods in App Sciences

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In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock‐out call options is presented. With regard to the well‐known Black‐Scholes model, the price of an option in each monitoring date could be calculated by computing a recursive integral formula that is based on the heat equation solution. We have approximated these recursive solutions with the aid of Lagrange interpolation on Jacobi polynomial nodes. After that, an operational matrix, which makes our computation significantly fast, has been derived. In some theorems, the convergence of the presented method has been shown and the rate of convergence has been derived. The most important benefit of this method is that its complexity is very low and does not depend on the number of monitoring dates. The numerical results confirm the accuracy and efficiency of the presented numerical algorithm.

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“…The Nobel Prize-winning Black-Scholes option valuation theory motivates using classical numerical methods for partial differential equations (PDE's) [1]. In computational Finance numerous nonstandard numerical methods are proposed and successfully applied for pricing options [2,3,4,5,6,7,8,9,10,11,12]. Numerical methods are often preferred to closed-form solutions as it they could me more easily extended or adapted to satisfy all the financial requirements of the option contracts and continuously changing conditions imposed by financial institutions and over-the-counter market for controlling trading of derivatives.…”

Section: Introductionmentioning

confidence: 99%

A numerical method for pricing discrete double barrier option by Legendre multiwavelet

Sobhani

Milev

2018

Journal of Computational and Applied Mathematics

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In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date could be calculate by computing a recursive integral formula upon the heat equation solution. We have approximated these recursive solutions with the aim of Lagrange interpolation on Jacobi polynomials node. After that, an operational matrix, that makes our computation significantly fast, has been driven. The most important feature of this method is that its CPU time dose not increase when the number of monitoring dates increases. The numerical results confirm the accuracy and efficiency of the presented numerical algorithm.

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Modelling Environment Changes for Pricing Weather Derivatives

Cited by 6 publications

References 12 publications

Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management

Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management

A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes

A numerical method for pricing discrete double barrier option by Legendre multiwavelet

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