Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27812
Authors: 
Chevalier, Pierre
Heidorn, Thomas
Krieger, Christian
Year of Publication: 
2003
Series/Report no.: 
Arbeitsberichte der Hochschule für Bankwirtschaft 49
Abstract: 
Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature options.
Subjects: 
Wetterderivate
Risikomanagement
Heating Days Call
Heating Days Put
Average Temperature Collar
Average Temperature Swap
Hedging gas prices with weather derivatives
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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