Download This PaperWeather Derivative Pricing and the Interpretation of Linear Trend Models
5 Pages Posted: 13 Jul 2004
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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Weather Derivative Pricing and the Year Ahead Forecasting of Temperature Part 1: Empirical Results
By Stephen Jewson and Anders Brix
-
Weather Derivative Pricing and the Year Ahead Forecasting of Temperature Part 2: Theory
-
By Stephen Jewson and Jeremy Penzer
-
By Stephen Jewson and Jeremy Penzer
-
Weather Derivative Pricing and the Spatial Variability of Us Temperature Trends
By Stephen Jewson and Anders Brix
-
Weather Derivative Pricing and a Preliminary Investigation into a Decision Rule for Detrending
By Stephen Jewson and Jeremy Penzer
-
By Stephen Jewson and Jeremy Penzer
-
By Stephen Jewson and Jeremy Penzer
-
By Stephen Jewson and Jeremy Penzer