Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling

Jewson, Stephen

doi:10.2139/ssrn.535122

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Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling

6 Pages Posted: 25 Apr 2004

See all articles by Stephen Jewson

Stephen Jewson

Risk Management Solutions

Date Written: April 24, 2004

Abstract

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

Jewson, Stephen, Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling (April 24, 2004). Available at SSRN: https://ssrn.com/abstract=535122 or http://dx.doi.org/10.2139/ssrn.535122