Estimation 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

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

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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