A Bootstrap approach to the price uncertainty of weather derivatives

Abstract : This paper investigates price uncertainties in weather derivatives contracts through a bootstrap approach. Futures prices are computed under a periodic ARMA model in an actuarial framework for two different locations, Paris and Chicago. We show that statistical errors may lead to substantial uncertainties on futures prices with confidence intervals up to 10% of the assessed prices.
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Article dans une revue
ASTIN Bulletin, Cambridge University Press (CUP), 2003
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https://hal-emse.ccsd.cnrs.fr/emse-00744904
Contributeur : Florent Breuil <>
Soumis le : mercredi 24 octobre 2012 - 10:26:41
Dernière modification le : jeudi 3 mai 2018 - 09:42:35

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  • HAL Id : emse-00744904, version 1

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Olivier Roustant, Jean-Paul Laurent, Xavier Bay, Laurent Carraro. A Bootstrap approach to the price uncertainty of weather derivatives. ASTIN Bulletin, Cambridge University Press (CUP), 2003. 〈emse-00744904〉

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