Weather derivatives: Business hedge instrument from weather risks
نویسندگان
چکیده
منابع مشابه
Pricing Weather Derivatives
SPRING 2000 T he impact of weather on business activities is enormous and varies both geographically and seasonally. For example, the 1982-1983 and 1997-1998 El Niño conditions were associated with warm winters in the eastern and midwestern U.S., resulting in significant energy cost savings for consumers and businesses. In addition, these conditions suppressed hurricane activities in the Atlant...
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The purpose of this paper is to incorporate the CPC (Climate Prediction Center) seasonal forecast in the temperature process so that conditional means and conditional variances of both the temperature and the CDD (Cooling Degree Day) may be redetermined in accordance with the seasonal forecasting probabilities. Under the Gaussian property of the underlying process, the prices of the CDD options...
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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...
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This paper proposes an integrated approach to price weather derivatives based on the existence of an optimal benchmark portfolio for discrete time modelling. This portfolio, known as the growth optimal portfolio, when used as the numeraire ensures all benchmarked price processes are supermartingales. No further measure transformation is needed for the pricing of derivatives in a fair market, in...
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‎Pricing weather derivatives is becoming increasingly useful‎, ‎especially in developing economies‎. ‎We describe a statistical model based approach for pricing weather derivatives by modeling and forecasting daily average temperatures data which exhibits long-range dependence‎. ‎We pre-process the temperature data by filtering for seasonality and volatility an...
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ژورنال
عنوان ژورنال: Bankarstvo
سال: 2014
ISSN: 1451-4354
DOI: 10.5937/bankarstvo1406156d