Pricing Weather Derivative : An Equilibrium Approach.

This paper proposes and implements as equilibrium framework for valuing weather derivatives. We generalize the Lucas Model of 1978 to include the daily temperature as a fundamental variable in the economy.

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Year of publication:	1999
Authors:	Cao, M. ; Wei, J.
Institutions:	Rotman School of Management, University of Toronto
Subject:	WEATHER \| ENERGY \| DEMAND \| EVALUATION

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Series:	Rotman School of Management - Finance.
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	Q40 - Energy. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005207618