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2010-09-07Buch DOI: 10.18452/4271
Meteorological forecasts and the pricing of weather derivatives
dc.contributor.authorRitter, Matthias
dc.contributor.authorMußhoff, Oliver
dc.contributor.authorOdening, Martin
dc.date.accessioned2017-06-16T00:12:03Z
dc.date.available2017-06-16T00:12:03Z
dc.date.created2010-09-09
dc.date.issued2010-09-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4923
dc.description.abstractIn usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the incorporation of meteorological forecasts in the framework of weather derivative pricing and is able to estimate the information gain compared to a benchmark model without meteorological forecasts. This approach is applied for temperature futures referring to New York, Minneapolis and Cincinnati with forecast data 13 days in advance. Despite this relatively short forecast horizon, the models using meteorological forecasts outperform the classical approach and more accurately forecast the market prices of the temperature futures traded at the Chicago Mercantile Exchange (CME). Moreover, a concentration on the last two months or on days with actual trading improves the results.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectfinancial marketseng
dc.subjectweather riskeng
dc.subjectCMEeng
dc.subjectWeather forecastingeng
dc.subjectprice forecastingeng
dc.subjecttemperature futureseng
dc.subject.ddc330 Wirtschaft
dc.titleMeteorological forecasts and the pricing of weather derivatives
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100174498
dc.identifier.doihttp://dx.doi.org/10.18452/4271
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue43
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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