Weather Derivative Pricing and the Interpretation of Linear Trend Models
5 Pages Posted: 13 Jul 2004
Date Written: July 12, 2004
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: Suggested Citation