Автор:Paul Gebhardt Год: 2011 Издание:LAP Lambert Academic Publishing Страниц: 60 ISBN: 9783843391948 The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.
