Closed-Form Expressions for the Pricing of Weather Derivatives: The Payoff Variance for Gamma Distributed Indices
5 Pages Posted: 16 Aug 2004
Date Written: August 15, 2004
We derive closed-form expressions for the variance of the payoff of a number of types of weather derivative contract under the assumption of a gamma distributed settlement index.
Keywords: Weather derivatives, closed-form solutions, exact solutions, gamma distribution, payoff variance, frost days
JEL Classification: G12, G13
Suggested Citation: Suggested Citation