Download This PaperConvergence of the Distribution of Payoffs for Portfolios of Weather Derivative Options
8 Pages Posted: 29 Apr 2004
Date Written: April 15, 2004
Abstract
We use simulations to address the question of to what extent the distribution of payoffs of portfolios of weather options converges to a normal distribution as the size of the portfolio increases.
Keywords: weather derivatives, weather options, payoff distribution, normal distribution
JEL Classification: G13
Suggested Citation: Suggested Citation
Jewson, Stephen, Convergence of the Distribution of Payoffs for Portfolios of Weather Derivative Options (April 15, 2004). Available at SSRN: https://ssrn.com/abstract=531043 or http://dx.doi.org/10.2139/ssrn.531043
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