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Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index

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  • Baojing Sun

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  • Baojing Sun, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 2017-05, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  • Handle: RePEc:rep:wpaper:2017-05
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    File URL: http://web.uvic.ca/~repa/publications/REPA%20working%20papers/WorkingPaper2017-05.pdf
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    References listed on IDEAS

    as
    1. Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March.
    2. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    3. Dorje Brody & Joanna Syroka & Mihail Zervos, 2002. "Dynamical pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 2(3), pages 189-198.
    4. Vedenov, Dmitry V. & Barnett, Barry J., 2004. "Efficiency of Weather Derivatives as Primary Crop Insurance Instruments," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(3), pages 1-17, December.
    5. Calum G. Turvey, 2001. "Weather Derivatives for Specific Event Risks in Agriculture," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 23(2), pages 333-351.
    6. Frank Schiller & Gerold Seidler & Maximilian Wimmer, 2012. "Temperature models for pricing weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 489-500, March.
    7. Hung‐Hsi Huang & Yung‐Ming Shiu & Pei‐Syun Lin, 2008. "HDD and CDD option pricing with market price of weather risk for Taiwan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(8), pages 790-814, August.
    8. Ahmet Goncu, 2011. "Pricing temperature-based weather contracts: an application to China," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1349-1354.
    9. Turvey, Calum G. & Kong, Rong & Belltawn, Burgen, 2009. "Weather Risk and the Viability of Weather Insurance In Western China," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49362, Agricultural and Applied Economics Association.
    10. Wolfram Schlenker & Michael J. Roberts, 2008. "Estimating the Impact of Climate Change on Crop Yields: The Importance of Nonlinear Temperature Effects," NBER Working Papers 13799, National Bureau of Economic Research, Inc.
    11. 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)

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    More about this item

    Keywords

    Pricing weather options; weather-based derivatives; stochastic process and econometric modeling; growing degree days; agricultural finance;
    All these keywords.

    JEL classification:

    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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