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Pricing Weather Derivatives with MATLAB
Pricing a weather option involves getting a good model for the climate event. Learn how to price a weather option using the following steps:
- Get data into MATLAB using a REST API.
- Clean and analyze the temperature timeseries.
- Model the temperature using a linear model for the deterministic part and an arma/garch process for the volatility.
- Forecast the temperature and price of a weather option.
Published: 12 Oct 2021
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