A fair pricing approach to weather derivatives

DOI10.1007/s10690-005-4252-9zbMath1075.91024OpenAlexW2062090614MaRDI QIDQ2575439

Eckhard Platen, Jason West

Publication date: 9 December 2005

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5261

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Continuity and singularity of induced measures (60G30)

Related Items (7)

CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS ⋮ A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures ⋮ Uncertainty and Robustness in Weather Derivative Models ⋮ Weather derivatives and stochastic modelling of temperature ⋮ Hedging of Spatial Temperature Risk with Market-Traded Futures ⋮ Optimal hedging of prediction errors using prediction errors ⋮ Pricing Weather Derivatives Using the Indifference Pricing Approach

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