Pricing rainfall futures at the CME
- 30 November 2013
- journal article
- Published by Elsevier BV in Journal of Banking & Finance
- Vol. 37 (11), 4286-4298
- https://doi.org/10.1016/j.jbankfin.2013.07.042
Abstract
No abstract availableKeywords
This publication has 30 references indexed in Scilit:
- Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivativesInsurance: Mathematics and Economics, 2012
- The Risk Premium and the Esscher Transform in Power MarketsStochastic Analysis and Applications, 2012
- The pricing of temperature futures at the Chicago Mercantile ExchangeJournal of Banking & Finance, 2010
- Esscher transforms and consumption-based modelsInsurance: Mathematics and Economics, 2009
- PRICING PRECIPITATION BASED DERIVATIVESInternational Journal of Theoretical and Applied Finance, 2005
- Precipitation Modeling and Contract ValuationThe Journal of Alternative Investments, 2004
- The Fine Structure of Asset Returns: An Empirical InvestigationThe Journal of Business, 2002
- Normal Inverse Gaussian Distributions and Stochastic Volatility ModellingScandinavian Journal of Statistics, 1997
- The Variance-Optimal Martingale Measure for Continuous ProcessesBernoulli, 1996
- An Economic Premium PrincipleASTIN Bulletin, 1980