Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - the Greeks

13 Pages Posted: 4 Oct 2003

Date Written: August 16, 2003

Abstract

We derive closed-form expressions for the greeks of a number of types of weather derivative contract under the assumption of a normally distributed settlement index.

Keywords: weather, derivatives, weather derivatives, greeks, normal distribution, analytical solution, closed-form expression, weather options

JEL Classification: G12, G13

Suggested Citation

Jewson, Stephen, Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - the Greeks (August 16, 2003). Available at SSRN: https://ssrn.com/abstract=436263 or http://dx.doi.org/10.2139/ssrn.436263

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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