Use of the Basic and Adjusted Kernel Densities for Weather Derivative Pricing

6 Pages Posted: 31 Dec 2003

Date Written: December 20, 2003

Abstract

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

Jewson, Stephen, Use of the Basic and Adjusted Kernel Densities for Weather Derivative Pricing (December 20, 2003). Available at SSRN: https://ssrn.com/abstract=481923 or http://dx.doi.org/10.2139/ssrn.481923

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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