Browsing by Subject "Monte Carlo methods"

Now showing items 1-2 of 2

    • Indifference Pricing of Contingent Claims on NIG L´evy Model 

      Ngare, Philip (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 is ...

    • On Modelling and Pricing Rainfall Derivatives with Seasonality 

      Leobacher, Gunther; Ngare, Philip (Taylor & Francis, 2010)
      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 ...