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Pricing Weather Derivative : An Equilibrium Approach

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Author Info

  • Cao, M.
  • Wei, J.

Abstract

This paper proposes and implements as equilibrium framework for valuing weather derivatives. We generalize the Lucas Model of 1978 to include the daily temperature as a fundamental variable in the economy.

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Bibliographic Info

Paper provided by Rotman School of Management, University of Toronto in its series Rotman School of Management - Finance with number 99-002.

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Length: 19 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:rotfin:99-002

Contact details of provider:
Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6
Phone: 416.978.3499
Web page: http://www.rotman.utoronto.ca/
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Related research

Keywords: WEATHER ; ENERGY ; DEMAND ; EVALUATION;

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Cited by:
  1. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 54(4).
  2. Musshoff, Oliver & Hirschauer, Norbert, 2008. "Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(5).
  3. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2002. "Weather Derivatives: Managing Risk With Market-Based Instruments," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19074, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  4. Lee, Yongheon & Oren, Shmuel S., 2009. "An equilibrium pricing model for weather derivatives in a multi-commodity setting," Energy Economics, Elsevier, vol. 31(5), pages 702-713, September.

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