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Volumn 19, Issue 2, 2011, Pages 45-60

Meteorological forecasts and the pricing of temperature futures

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EID: 82055190762     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2011.19.2.045     Document Type: Article
Times cited : (9)

References (20)
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  • 3
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    • Stochastic modelling of temperature variations with a view towards weather derivatives
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  • 4
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  • 6
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    • Dynamical pricing of weather derivatives
    • Brody, D.C., J. Syroka, and M. Zervos. "Dynamical Pricing of Weather Derivatives." Quantitative Finance, 2 (2002), pp. 189-198.
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  • 7
    • 14944350052 scopus 로고    scopus 로고
    • Weather forecasting for weather derivatives
    • DOI 10.1198/016214504000001051
    • Campbell, S.D., and F.X. Diebold. "Weather Forecasting for Weather Derivatives." Journal of the American Statistical Association, 100 (2005), pp. 6-16. (Pubitemid 40366814)
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  • 8
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    • Weather derivatives valuation and market price of weather risk
    • DOI 10.1002/fut.20122
    • Cao, M., and J. Wei. "Weather Derivatives Valuation and Market Price of Weather Risk." Journal of Futures Markets, 24 (2004), pp. 1065-1089. (Pubitemid 39307832)
    • (2004) Journal of Futures Markets , vol.24 , Issue.11 , pp. 1065-1089
    • Cao, M.1    Wei, J.2
  • 10
    • 85016184188 scopus 로고    scopus 로고
    • Pricing weather derivatives by marginal value
    • Davis, M. "Pricing Weather Derivatives by Marginal Value." Quantitative Finance, 1 (2001), pp. 305-308.
    • (2001) Quantitative Finance , vol.1 , pp. 305-308
    • Davis, M.1
  • 11
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    • The pricing of temperature futures at the Chicago mercantile exchange
    • Dorfleitner, G., and M. Wimmer. "The Pricing of Temperature Futures at the Chicago Mercantile Exchange." Journal of Banking & Finance, 34 (2010), pp. 1360-1370.
    • Journal of Banking & Finance , vol.34 , Issue.2010 , pp. 1360-1370
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  • 16
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    • The use of weather forecasts in the pricing of weather derivatives
    • Jewson, S., and R. Caballero. "The Use of Weather Forecasts in the Pricing of Weather Derivatives." Meteorological Applications, 10 (2003), pp. 377-389. (Pubitemid 38272595)
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    • Jewson, S.1    Caballero, R.2
  • 17
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    • A valuation algorithm for indiffierence prices in incomplete markets
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    • Musiela, M.1    Zariphopoulou, T.2
  • 18
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    • Orange juice and weather
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  • 20
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    • December
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.