Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - the Greeks
13 Pages Posted: 4 Oct 2003
Date Written: August 16, 2003
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: Suggested Citation