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Utility-based pricing of weather derivatives

✍ Scribed by Hamisultane, Hélène


Book ID
120501901
Publisher
Taylor and Francis Group
Year
2010
Tongue
English
Weight
458 KB
Volume
16
Category
Article
ISSN
1351-847X

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Weather derivatives valuation and market
✍ Melanie Cao; Jason Wei 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB

## Abstract This paper has two objectives: (1) to propose and implement a valuation framework for temperature derivatives (a specific class of weather derivatives); and (2) to study the significance of the market price of weather risk. The objectives are accomplished by generalizing the Lucas model