Enron Corporation's Weather Derivatives (B) (V 1.2)

5 Pages Posted: 21 Oct 2008

See all articles by Robert F. Bruner

Robert F. Bruner

University of Virginia - Darden School of Business

Samuel E. Bodily

University of Virginia - Darden School of Business

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Abstract

This case describes new options on weather derivatives from Enron, in particular, floors, swaps, and caps on heating-degree days. An electric utility is considering whether to purchase a weather derivative to offset the risk of low volume of kilowatt-hours. After understanding the nature and purpose of the contract, students will structure the option in preparation for valuing it. See also the A case (UVA-F-1299).

Keywords: hedging, option pricing, risk analysis, risk management, simulation

Suggested Citation

Bruner, Robert F. and Bodily, Samuel E., Enron Corporation's Weather Derivatives (B) (V 1.2). Darden Case No. UVA-F-1300. Available at SSRN: https://ssrn.com/abstract=909682

Robert F. Bruner (Contact Author)

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-3823 (Phone)
434-924-0714 (Fax)

HOME PAGE: http://faculty.darden.edu/brunerb/

Samuel E. Bodily

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4813 (Phone)
434-293-7677 (Fax)

HOME PAGE: http://www.darden.virginia.edu/faculty/bodily.htm

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