Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling
6 Pages Posted: 25 Apr 2004
Date Written: April 24, 2004
We perform a further investigation into the question of how best to estimate the distribution of a future weather index. In particular we investigate to what extent a perfect daily temperature simulation model would outperform a perfect index simulation model.
Keywords: Weather derivatives, daily temperature simulation
JEL Classification: G13
Suggested Citation: Suggested Citation