Closed-Form Expressions for the Pricing of Weather Derivatives Part 4 - the Kernel Density
12 Pages Posted: 11 Feb 2004
Date Written: January 11, 2004
We derive closed-form expressions for the expected payoff, the delta, the gamma and the payoff variance for weather options that depend on an underlying index with a distribution modelled by the kernel density.
Keywords: Weather derivatives, weather options, kernel density, closed-form solutions
JEL Classification: G13
Suggested Citation: Suggested Citation