Estimation Risk and the Pricing of Weather Derivatives - Mines Saint-Étienne Access content directly
Conference Papers Year : 2002

Estimation Risk and the Pricing of Weather Derivatives

Abstract

Temperature modelling is a major issue for valuation of weather derivatives. Goodness of fit is usually assessed from historical data. However, estimation errors can result in large price uncertainty that may be problematic for practical applications. In this paper, we consider a temperature ARMA model and quantify the price uncertainties for weather Futures and options. In addition we look for sources of uncertainty, and point out the major defects of the model.
No file

Dates and versions

emse-00745082 , version 1 (24-10-2012)

Identifiers

  • HAL Id : emse-00745082 , version 1

Cite

Olivier Roustant, Jean-Paul Laurent, Xavier Bay, Laurent Carraro. Estimation Risk and the Pricing of Weather Derivatives. AFFI rencontre chercheurs / industrie financière, Dec 2001, Paris, France. ⟨emse-00745082⟩
77 View
0 Download

Share

Gmail Facebook X LinkedIn More