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Variance reduction methods at the pricing of weather options

Author

Listed:
  • Raimova, Gulnora

    () (University of World Economy and Diplomacy, Uzbekistan)

Abstract

Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature

Suggested Citation

  • Raimova, Gulnora, 2011. "Variance reduction methods at the pricing of weather options," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 21(1), pages 3-15.
  • Handle: RePEc:ris:apltrx:0056
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2011_1_03-15.pdf
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    References listed on IDEAS

    as
    1. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    2. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2004. "Pricing Weather Derivatives," Working Papers 28536, Arizona State University, Morrison School of Agribusiness and Resource Management.
    3. Dwight R. Sanders, 2004. "Pricing Weather Derivatives," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(4), pages 1005-1017.
    4. Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
    5. Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, vol. 42(6), pages 926-938, June.
    6. Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 1-20.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Weather options; stochastic model; option pricing; Monte Carlo method; statistical modeling; variance reduction;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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