Weather Derivatives
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...
متن کاملFair Pricing of Weather Derivatives
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...
متن کاملBenchmark Pricing of Weather Derivatives∗
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...
متن کاملWeather Derivatives and Seasonal Forecast
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...
متن کاملEquilibrium Valuation of Weather Derivatives¤
This paper proposes and implements an equilibrium valuation framework for weather derivatives. We generalize the Lucas model of 1978 to include the weather as a fundamental variable in the economy. The model is specialized to temperature derivatives. Temperature behavior for the period of 1979-1989 is closely studied for ̄ve major cities in the U.S., and a model is proposed for the daily temper...
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ژورنال
عنوان ژورنال: Acta Oeconomica Pragensia
سال: 2007
ISSN: 0572-3043,1804-2112
DOI: 10.18267/j.aop.72