Chevalier, Pierre Heidorn, Thomas Krieger, Christian
Year of Publication:
Arbeitsberichte der Hochschule für Bankwirtschaft 49
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.
Wetterderivate Risikomanagement Heating Days Call Heating Days Put Average Temperature Collar Average Temperature Swap Hedging gas prices with weather derivatives