Results 51 to 60 of about 198 (109)

Pricing Basket Weather Derivatives on Rainfall and Temperature Processes

International Journal of Financial Studies, 2019
This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging.
Nelson Christopher Dzupire, Philip Ngare, Leo Odongo   +2 more
doaj   +1 more source

Utility-Based Pricing of the Weather Derivatives [PDF]

SSRN Electronic Journal, 2006
Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei (2004) price them by using the consumption-based asset pricing model of Lucas (1978) and by assuming different values for the constant relative risk aversion coefficient.
openaire   +3 more sources

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation

Croatian Review of Economic, Business and Social Statistics, 2020
An accurate weather forecast is the basis for the valuation of weather derivatives, securities that partially compensate for financial losses to holders in case of, from their perspective, adverse outside temperature.
Žmuk Berislav, Kovač Matej
doaj   +1 more source

The Conditions of Creation and Prospects of Weather Derivatives Development on the Domestic Market

Contemporary Economics, 2008
Analysing the possibility of creations and prospects of weather derivatives development on the domestic market the first of all should be identify the business areas that are strongly exposed for weather risk, which are: energy, agricultural, building ...
Piotr Binkowski
doaj  

Temperature forecasting and derivatives pricing in the Yangtze River economic belt of China

Geomatics, Natural Hazards & Risk
In the Yangtze River Economic Belt, climate variability significantly affects sectors such as agriculture, energy, and related industries, making accurate temperature forecasting essential.
Juan Gao, Yi Li
doaj   +1 more source

Tail Risk in Weather Derivatives

Commodities
Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen   +2 more
doaj   +1 more source

RESEARCH ON WEATHER DERIVATIVES PRICING–THE CASE OF SHANGHAI MUNICIPALITY [PDF]

Science Heritage Journal
Weather derivatives pricing is one of the central issues in the study of this type of financial product, and there is no uniform methodology. To price the temperature option with Shanghai temperature as the underlying and explore how to improve the ...
Pengfei Lv, Shanli Ye
doaj   +1 more source

Modeling and Forecasting Average Temperature for Weather Derivative Pricing

Advances in Meteorology, 2015
The main purpose of this paper is to present a feasible model for the daily average temperature on the area of Zhengzhou and apply it to weather derivatives pricing.
Zhiliang Wang, Peng Li, Lingyong Li, Chunyan Huang, Min Liu   +4 more
doaj   +1 more source

Hedging Crop Yields Against Weather Uncertainties—A Weather Derivative Perspective

Mathematical and Computational Applications, 2019
The effects of weather on agriculture in recent years have become a major global concern. Hence, an effective weather risk management tool (i.e., weather derivatives) that can hedge crop yields against weather uncertainties is needed.
Samuel Asante Gyamerah, Philip Ngare, Dennis Ikpe   +2 more
doaj   +1 more source

RAINFALL INSURANCE IN WHEAT PRODUCTION WITH WEATHER DERIVATIVES

Ekonomika Poljoprivrede (1979), 2011
It has been long known that weather conditions are the main factor of uncertainty in plant production. For this reason, an integrated system of risk management in plant production is necessary today, in order to somewhat compensate for the loss caused ...
Todor Marković, Milenko Jovanović
doaj