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
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: Suggested Citation