Convergence of the Distribution of Payoffs for Portfolios of Weather Derivative Options
8 Pages Posted: 29 Apr 2004
Date Written: April 15, 2004
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