CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS

DOI10.1142/S0219024912500276zbMath1246.91131OpenAlexW2011502705MaRDI QIDQ2909512

Thilo Meyer-Brandis, Thorsten Rheinländer, Philipp Hell

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500276

zbMATH Keywords

consistencytemperature derivativesfactor modelspricing and hedgingtemperature marketstemperature models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Meteorology and atmospheric physics (86A10)

Related Items (2)

PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS ⋮ Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation

Cites Work

• Term-structure models. A graduate course
• A fair pricing approach to weather derivatives
• On modelling and pricing weather derivatives
• The volatility of temperature and pricing of weather derivatives
• Weather Forecasting for Weather Derivatives

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