Download This PaperClosed-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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
The Black-Scholes Equation for Weather Derivatives
By Stephen Jewson and Mihail Zervos
-
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - the Greeks
-
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 1 - the Expected Payoff
-
Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - the Payoff Variance
-
Weather Derivative Pricing and Risk Management: Volatility and Value at Risk
-
Closed-Form Expressions for the Pricing of Weather Derivatives Part 4 - the Kernel Density
-
Horizon Value at Risk for Weather Derivatives Part 1: Single Contracts
-
Horizon Value at Risk for Weather Derivatives Part 2: Portfolios