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

Abstract

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

Jewson, Stephen, Closed-Form Expressions for the Pricing of Weather Derivatives Part 4 - the Kernel Density (January 11, 2004). Available at SSRN: https://ssrn.com/abstract=486422 or http://dx.doi.org/10.2139/ssrn.486422

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
266
Abstract Views
2,006
rank
137,461
PlumX Metrics