Purpose – The purpose of this paper is to propose a feasible model for the daily average temperatures of Beijing, Shanghai and Shenzhen, in order to price temperature‐based weather derivatives; also to derive analytical approximation formulas for the sensitivities of these contracts....

Purpose – The purpose of this paper is to compare the ability of popular temperature models, namely, the models given by Alaton et al. , by Benth and Benth, by Campbell and Diebold and by Brody et al. , to forecast the prices of heating/cooling degree days (HDD/CDD) futures for New York,...

Purpose–The purpose of this paper is to propose a feasible model for the daily average temperatures of Beijing, Shanghai and Shenzhen, in order to price temperature-based weather derivatives; also to derive analytical approximation formulas for the sensitivities of these contracts....