標的物不可交易下的選擇權評價(1/3)

One of the most difficult features of pricing weather derivatives is that the mar-ket
is incomplete. This project presents a new method for pricing weather deriva-tives
in an incomplete market. The proposed method has two advantages shown
in only a few of the models discussed in other weather-related articles. First, the
method for pricing assets in an incomplete market is used to overcome the non-tradable
feature of the underlying assets of the weather derivatives in which the
no-arbitrage method breaks down. Second, an efficient analytical method is incor-porated
into the proposed model to make the Asian-type payout of weather deriva-tives
much easier to evaluate than by any other numerical methods.