Estimation of Uncertainty in the Pricing of Weather Options
Stephen Jewson
Risk Management Solutions
September 3, 2003
Abstract:
We describe analytical and numerical methods for the estimation of the size of the error in calculations of the fair premium for weather options.
Number of Pages in PDF File: 10
Keywords: weather derivatives, weather derivative pricing, weather options, uncertainty
JEL Classification: G12, G13
working papers series
Suggested Citation
Jewson, Stephen, Estimation of Uncertainty in the Pricing of Weather Options (September 3, 2003). Available at SSRN: http://ssrn.com/abstract=441286 or http://dx.doi.org/10.2139/ssrn.441286
