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
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: Suggested Citation