Pricing Rainfall Derivatives at the CME
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More about this item
KeywordsWeather derivatives; precipitation; Esscher transform; market price of risk;
- G19 - Financial Economics - - General Financial Markets - - - Other
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- Q59 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2013-02-03 (Agricultural Economics)
- NEP-ALL-2013-02-03 (All new papers)
- NEP-RMG-2013-02-03 (Risk Management)
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