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

Jewson, Stephen

doi:10.2139/ssrn.576662

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

5 Pages Posted: 16 Aug 2004

See all articles by Stephen Jewson

Stephen Jewson

Risk Management Solutions

Date Written: August 15, 2004

Abstract

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

Jewson, Stephen, Closed-Form Expressions for the Pricing of Weather Derivatives: The Payoff Variance for Gamma Distributed Indices (August 15, 2004). Available at SSRN: https://ssrn.com/abstract=576662 or http://dx.doi.org/10.2139/ssrn.576662