Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56760 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorLópez-Cabrera, Brendaen
dc.contributor.authorRitter, Matthiasen
dc.date.accessioned2012-03-20-
dc.date.accessioned2012-04-05T16:21:59Z-
dc.date.available2012-04-05T16:21:59Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2012-027en
dc.subject.jelG19en
dc.subject.jelG29en
dc.subject.jelG22en
dc.subject.jelN23en
dc.subject.jelN53en
dc.subject.jelQ59en
dc.subject.ddc330en
dc.subject.keywordweather derivativesen
dc.subject.keywordseasonal variationen
dc.subject.keywordtemperatureen
dc.subject.keywordrisk premiaen
dc.subject.stwWetteren
dc.subject.stwFinanzderivaten
dc.subject.stwBörsenkursen
dc.subject.stwOptionspreistheorieen
dc.subject.stwMeteorologieen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleForecast based pricing of weather derivatives-
dc.typeWorking Paperen
dc.identifier.ppn688865011en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size
839.43 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.