This paper proposes a consistent approach to the pricing of weather derivatives. Since weather derivatives are traded in an incomplete market setting, standard hedging based pricing methods cannot be applied. The growth optimal portfolio, which is interpreted as a world stock index, is used as a benchmark or numeraire such that all benchmarked derivative price processes are martingales. No meas...

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework we allow for different distributions of the historical and the pricing return dynamics enhancing the model flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing...

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing GARCH ...

The use of time-inhomogeneous additive processes in option pricing has become increasingly popular in recent years due to the ability of these models to adequately price across both strike and maturity with relatively few parameters. In this paper we use the property of selfsimilarity to construct two classes of models whose time one distributions agree with those of prespecified Lévy processes...

the main objective of this article is to present a comparative study of capital assets pricing models (capm) with extrapolating capital assets pricing models (x-capm) of companies admitted in tehran exchange market which is accomplished for the first time by investigators of this research in iran. accordingly, the statistical population under study of this research includes all companies admitt...

given the strategic remarkable rank of pistachio in non-oil exports, inputs’ management in its production is so important. as the scarcest input in agricultural sector, water is considered to be among the most important inputs of pistachio production.water inadequate supply and limate conditions increase water demand in pistachio growing areas. it is necessary to determine the real value or pri...

considering that agricultural sector is the largest consumer of water, presenting integrated management for water resources and formulating effective policies to increase water productivity in this sector is essential. therefore, using economic modeling , this study simulated the farmers’ responses to irrigation water pricing and rationing policies in zabol city. to achieve the study purpose, t...