Download This PaperEstimation of Uncertainty in the Pricing of Weather Options
10 Pages Posted: 6 Oct 2003
Date Written: 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.
Keywords: weather derivatives, weather derivative pricing, weather options, uncertainty
JEL Classification: G12, G13
Suggested Citation: Suggested Citation
Jewson, Stephen, Estimation of Uncertainty in the Pricing of Weather Options (September 3, 2003). Available at SSRN: https://ssrn.com/abstract=441286 or http://dx.doi.org/10.2139/ssrn.441286
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