Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling

6 Pages Posted: 25 Apr 2004

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

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

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
513
rank
51,585
Abstract Views
2,721
PlumX Metrics