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2012-03-16Buch DOI: 10.18452/4400
Forecast based Pricing of Weather Derivatives
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorLópez-Cabrera, Brenda
dc.contributor.authorRitter, Matthias
dc.date.accessioned2017-06-16T00:38:32Z
dc.date.available2017-06-16T00:38:32Z
dc.date.created2012-05-10
dc.date.issued2012-03-16
dc.date.submitted2012-03-16
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5052
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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjecttemperatureeng
dc.subjectWeather derivativeseng
dc.subjectseasonal variationeng
dc.subjectrisk premiaeng
dc.subject.ddc300 Sozialwissenschaften, Soziologie, Anthropologie
dc.titleForecast based Pricing of Weather Derivatives
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100201676
dc.identifier.doihttp://dx.doi.org/10.18452/4400
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue27
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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