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Pricing Weather Derivative : An Equilibrium Approach

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Author Info
Cao, M.
Wei, J.

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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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Publisher 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.mgmt.utoronto.ca/
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Related research
Keywords: WEATHER ; ENERGY ; DEMAND ; EVALUATION;

Find related papers by JEL classification:
Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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This page was last updated on 2009-12-16.

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