Weather Derivative Pricing and the Interpretation of Linear Trend Models

5 Pages Posted: 13 Jul 2004

See all articles by Stephen Jewson

Stephen Jewson

Risk Management Solutions

Jeremy Penzer

London School of Economics

Date Written: July 12, 2004

Abstract

We interpret the flat line, best fit linear trend and damped linear trend models as a sequence of weights on historical index values. This gives further insight into some of the properties of these models.

Keywords: Weather derivatives, trends, linear trends, optimal trends

JEL Classification: G12, G13

Suggested Citation

Jewson, Stephen and Penzer, Jeremy, Weather Derivative Pricing and the Interpretation of Linear Trend Models (July 12, 2004). Available at SSRN: https://ssrn.com/abstract=563962 or http://dx.doi.org/10.2139/ssrn.563962

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

Jeremy Penzer

London School of Economics ( email )

Houghton Street
London WC2A 2AE
United Kingdom

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