Abstract

http://ssrn.com/abstract=486342
 
 

Citations (2)



 
 

Footnotes (1)



 


 



Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation


Stephen Jewson


Risk Management Solutions

January 10, 2004



Abstract:     
We use simulations to compare the potential accuracy of burn and index modelling applied to the calculation of the expected payoff and other diagnostics for weather options.

Number of Pages in PDF File: 13

Keywords: Weather derivatives, weather option pricing, burn, index modelling

JEL Classification: G13

working papers series





Download This Paper

Date posted: January 16, 2004  

Suggested Citation

Jewson, Stephen, Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation (January 10, 2004). Available at SSRN: http://ssrn.com/abstract=486342 or http://dx.doi.org/10.2139/ssrn.486342

Contact Information

Stephen Jewson (Contact Author)
Risk Management Solutions ( email )
London EC3R 8NB
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 1,409
Downloads: 287
Download Rank: 62,327
Citations:  2
Footnotes:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.297 seconds