Use of the Basic and Adjusted Kernel Densities for Weather Derivative Pricing
6 Pages Posted: 31 Dec 2003
Date Written: December 20, 2003
We compare weather option prices calculated using the basic and adjusted kernel densities with those calculated using a normal distribution. We come to some clear conclusions as to which methods are more accurate.
Keywords: Weather, weather derivatives, kernel density, adjusted kernel density
JEL Classification: G13
Suggested Citation: Suggested Citation