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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorLópez-Cabrera, Brendaen_US
dc.contributor.authorRitter, Matthiasen_US
dc.date.accessioned2012-03-20en_US
dc.date.accessioned2012-04-05T16:21:59Z-
dc.date.available2012-04-05T16:21:59Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/56760-
dc.description.abstractForecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR) are often not incorporated. We adopt a risk neutral approach (for each location) that allows the incorporation of meteorological forecasts in the framework of WD pricing. We study weather Risk Premiums (RPs) implied from either the information MPR gain or the meteorological forecasts. The size of RPs is interesting for investors and issuers of weather contracts to take advantages of geographic diversification, hedging effects and price determinations. By conducting an empirical analysis to London and Rome WD data traded at the Chicago Mercantile Exchange (CME), we find out that either incorporating the MPR or the forecast outperforms the standard pricing techniques.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2012-027en_US
dc.subject.jelG19en_US
dc.subject.jelG29en_US
dc.subject.jelG22en_US
dc.subject.jelN23en_US
dc.subject.jelN53en_US
dc.subject.jelQ59en_US
dc.subject.ddc330en_US
dc.subject.keywordweather derivativesen_US
dc.subject.keywordseasonal variationen_US
dc.subject.keywordtemperatureen_US
dc.subject.keywordrisk premiaen_US
dc.subject.stwWetteren_US
dc.subject.stwFinanzderivaten_US
dc.subject.stwBörsenkursen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwMeteorologieen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleForecast based pricing of weather derivativesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn688865011en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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