In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...

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...

In diesem Beitrag wird eine Niederschlagsoption unter Anwendung der Burn-Analysis, der Index-Value-Simulation und der Daily-Simulation bewertet. Dazu wird auf der Grundlage empirischer Wetterdaten aus Deutschland (Niederschlagsmengen aus Brandenburg) ein Tagesniederschlagsmodell entwickelt....

The risks associated with farming activities are likely to increase in the future. It, therefore, appears worthwhile to analyse new risk management instruments. This paper investigates weather derivatives for which a market has already emerged in the USA. Contrary to traditional financial...

This paper presents a model and framework for pricing degree-day weather derivatives when the weather variable is a non-traded asset. Using daily weather data from 1840-1996 it is shown that a degree-day weather index exhibits stable volatility and satisfies the random walk hypothesis. The paper...

The risks associated with farming activities are likely to increase in the future. It, therefore, appears worthwhile to analyse new risk management instruments. This paper investigates weather derivatives for which a market has already emerged in the USA. Contrary to traditional financial...

Basis risk has been cited as a primary concern for implementing weather hedges. This studyinvestigates several dimensions of weather basis risk for the U.S. corn market at variouslevels of aggregation. The results suggest that while the degree of geographic basis risk maybe significant in some...

Basis risk has been cited as a primary concern for implementing weather hedges. This study investigates several dimensions of weather basis risk for the U.S. corn market at various levels of aggregation. The results suggest that while the degree of geographic basis risk may be significant in...

Climatic conditions and weather play an important role in production agriculture. Using district level panels for 42 years from India and dynamic panel estimation procedure we estimate the impact of weather risk on cropping intensity. Our non-stationary and dynamic panel model results suggest...