Skip to Main content Skip to Navigation
Journal articles

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.
Document type :
Journal articles
Complete list of metadata
Contributor : Florent Breuil Connect in order to contact the contributor
Submitted on : Wednesday, October 24, 2012 - 10:26:41 AM
Last modification on : Monday, May 23, 2022 - 4:02:02 PM


  • HAL Id : emse-00744904, version 1


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⟩



Record views