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Weather Derivatives
[Deriváty na počasí]

Author

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  • Jan Pígl

Abstract

The article deal with the problems of weather derivatives which take the value in sequence nowadays. The aim of this work is the definition of weather derivatives and the way how to price them. We show as well that linear and nonlinear models of time series of temperatures measured in Prague and in Brno have not good results in the estimation of parameters μI and σI of the probability distribution function P(I) of the weather index which is essential in their pricing.

Suggested Citation

  • Jan Pígl, 2007. "Weather Derivatives [Deriváty na počasí]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2007(4), pages 39-48.
    • Handle: RePEc:prg:jnlaop:v:2007:y:2007:i:4:id:72:p:39-48
    DOI: 10.18267/j.aop.72
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    More about this item

    Keywords

    weather derivatives; pricing weather derivatives; time series;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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