Download This PaperClosed-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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
The Black-Scholes Equation for Weather Derivatives
By Stephen Jewson and Mihail Zervos
-
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - the Greeks
-
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 1 - the Expected Payoff
-
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - the Payoff Variance
-
Weather Derivative Pricing and Risk Management: Volatility and Value at Risk
-
Horizon Value at Risk for Weather Derivatives Part 1: Single Contracts
-
Horizon Value at Risk for Weather Derivatives Part 2: Portfolios