Convergence 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

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

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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