A Preliminary Assessment of the Utility of Seasonal Forecasts for the Pricing of U.S. Temperature Based Weather Derivatives

11 Pages Posted: 29 Apr 2004

Date Written: April 15, 2004

Abstract

We perform a preliminary investigation into whether or not seasonal forecasts could be useful in the pricing of weather derivatives that depend on U.S. temperatures.

Keywords: weather derivatives, seasonal forecasts, ENSO, El Nino

JEL Classification: G13

Suggested Citation

Jewson, Stephen, A Preliminary Assessment of the Utility of Seasonal Forecasts for the Pricing of U.S. Temperature Based Weather Derivatives (April 15, 2004). Available at SSRN: https://ssrn.com/abstract=531062 or http://dx.doi.org/10.2139/ssrn.531062

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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