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Indifference Pricing of Contingent Claims on NIG L´evy Model
(2012)
We develop an attractive and tractable model to describe the financial
time series of stock prices observed at the Nairobi exchange market
then price financial derivatives on the underlying stock. The stock price
process ...
On Modelling and Pricing Rainfall Derivatives with Seasonality
(2011)
We are interested in pricing rainfall options written on precipitation at specific
locations. We assume the existence of a tradeable financial instrument in the market whose price
process is affected by the quantity of ...