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Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken

Author

Listed:
  • Chevalier, Pierre
  • Heidorn, Thomas
  • Krieger, Christian

Abstract

Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature options.

Suggested Citation

  • Chevalier, Pierre & Heidorn, Thomas & Krieger, Christian, 2003. "Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken," Frankfurt School - Working Paper Series 49, Frankfurt School of Finance and Management.
    • Handle: RePEc:zbw:fsfmwp:49
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    References listed on IDEAS

    as
    1. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
    2. Ecker, Thomas & Moormann, Jürgen, 1997. "Die Bank als Betreiberin einer elektronischen Shopping-Mall," Frankfurt School - Working Paper Series 4, Frankfurt School of Finance and Management.
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