Showing 1 - 10 of 1,036
Persistent link: https://www.econbiz.de/10003762519
In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...
Persistent link: https://www.econbiz.de/10008663382
Persistent link: https://www.econbiz.de/10003971022
Persistent link: https://www.econbiz.de/10008908091
Persistent link: https://www.econbiz.de/10009509866
Persistent link: https://www.econbiz.de/10009413613
Persistent link: https://www.econbiz.de/10009760579
In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...
Persistent link: https://www.econbiz.de/10010346448
Persistent link: https://www.econbiz.de/10010346456
Persistent link: https://www.econbiz.de/10010396231