Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - the Payoff Variance

11 Pages Posted: 30 Dec 2003

Date Written: December 20, 2003

Abstract

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

Keywords: Weather, weather derivatives, payoff variance, closed-form expression

JEL Classification: G13

Suggested Citation

Jewson, Stephen, Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - the Payoff Variance (December 20, 2003). Available at SSRN: https://ssrn.com/abstract=481902 or http://dx.doi.org/10.2139/ssrn.481902

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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