Closed-Form Expressions for the Pricing of Weather Derivatives: The Expected Payoff for Gamma Distributed Indices

8 Pages Posted: 16 Aug 2004

Date Written: August 15, 2004

Abstract

We derive closed-form expressions for the expected payoff of a number of types of weather derivative contract under the assumption of a gamma distributed settlement index.

Keywords: Weather derivatives, closed-form solution, exact solution, gamma distribution, event indices, frost days

JEL Classification: G12, G13

Suggested Citation

Jewson, Stephen, Closed-Form Expressions for the Pricing of Weather Derivatives: The Expected Payoff for Gamma Distributed Indices (August 15, 2004). Available at SSRN: https://ssrn.com/abstract=576661 or http://dx.doi.org/10.2139/ssrn.576661

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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