Arbeitspapier
Forecast based pricing of weather derivatives
Forecasting 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2012-027
- Klassifikation
-
Wirtschaft
General Financial Markets: Other
Financial Institutions and Services: Other
Insurance; Insurance Companies; Actuarial Studies
Economic History: Financial Markets and Institutions: Europe: Pre-1913
Economic History: Agriculture, Natural Resources, Environment, and Extractive Industries: Europe: Pre-1913
Environmental Economics: Other
- Thema
-
weather derivatives
seasonal variation
temperature
risk premia
Wetter
Finanzderivat
Börsenkurs
Optionspreistheorie
Meteorologie
Prognoseverfahren
Theorie
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Härdle, Wolfgang Karl
López-Cabrera, Brenda
Ritter, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Härdle, Wolfgang Karl
- López-Cabrera, Brenda
- Ritter, Matthias
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2012
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