Pricing Chinese Rain: A Multi-site Multi-Period Equilibrium Pricing Model for Rainfall Derivatives

2011 ◽  
Author(s):  
Wolfgang K. HHrdle ◽  
Maria Osipenko
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing

scholarly journals A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

2006 ◽  
Vol 36 (1) ◽  
pp. 269-283 ◽  
Author(s):  
Masaaki Kijima
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing ◽  
Multivariate Extension ◽  
Aggregate Risk ◽  
Normally Distributed

This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.

scholarly journals A Multiperiod Equilibrium Pricing Model

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Minsuk Kwak ◽  
Traian A. Pirvu ◽  
Huayue Zhang
Keyword(s):  
Optimal Strategies ◽  
Risky Asset ◽  
Model Parameters ◽  
Contingent Claim ◽  
Pricing Model ◽  
Equilibrium Pricing ◽  
Equilibrium Prices ◽  
Numerical Result ◽  
Stochastic Framework ◽  
Stochastic Coefficient

We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

scholarly journals Time-Varying Risk and Return in the Bond Market: A Test of a New Equilibrium Pricing Model

1999 ◽  
Vol 12 (3) ◽  
pp. 631-642 ◽  
Author(s):  
Cynthia J. Campbell ◽  
Hossein B. Kazemi ◽  
Prasad Nanisetty
Keyword(s):  
Bond Market ◽  
Time Varying ◽  
Pricing Model ◽  
Risk And Return ◽  
Equilibrium Pricing

scholarly journals A multi-period equilibrium pricing model of weather derivatives

2010 ◽  
Vol 1 (1) ◽  
pp. 3-30 ◽  
Author(s):  
Yongheon Lee ◽  
Shmuel S. Oren
Keyword(s):  
Pricing Model ◽  
Weather Derivatives ◽  
Equilibrium Pricing
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