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A Fair Pricing Approach to Weather Derivatives

Citations

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Cited by:

  1. Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
  2. Fred Espen Benth & Anca Pircalabu, 2018. "A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(1), pages 36-65, January.
  3. Wei Yuan & Ahmet Göncü & Giray Ökten, 2015. "Estimating sensitivities of temperature-based weather derivatives," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1942-1955, April.
  4. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457.
  5. Wolfgang Karl Härdle & Brenda López Cabrera, 2012. "The Implied Market Price of Weather Risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 59-95, February.
  6. Patrick Brockett & Linda Goldens & Min-Ming Wen & Charles Yang, 2009. "Pricing Weather Derivatives Using the Indifference Pricing Approach," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(3), pages 303-315.
  7. repec:hum:wpaper:sfb649dp2009-001 is not listed on IDEAS
  8. Angelos Prentzas & Thomas Bournaris & Stefanos Nastis & Christina Moulogianni & George Vlontzos, 2024. "Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture," Sustainability, MDPI, vol. 16(17), pages 1-18, August.
  9. Peio Alcorta & Maria Paz Espinosa & Cristina Pizarro-Irizar, 2024. "Right and Duty: Investment Risk Under Different Renewable Energy Support Policies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(12), pages 3163-3204, December.
  10. Philipp Hell & Thilo Meyer-Brandis & Thorsten Rheinländer, 2012. "Consistent Factor Models For Temperature Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-24.
  11. repec:hum:wpaper:sfb649dp2009-046 is not listed on IDEAS
  12. L. Kermiche & N. Vuillermet, 2016. "Weather derivatives structuring and pricing: a sustainable agricultural approach in Africa," Applied Economics, Taylor & Francis Journals, vol. 48(2), pages 165-177, January.
  13. Matsumoto, Takuji & Yamada, Yuji, 2021. "Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives1," Energy Economics, Elsevier, vol. 95(C).
  14. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811.
  15. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2007. "Putting a Price on Temperature," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 746-767, December.
  16. Hélène Hamisultane, 2006. "Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures," Working Papers halshs-00079197, HAL.
  17. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research.
  18. Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021. "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, vol. 304(C).
  19. Takuji Matsumoto & Yuji Yamada, 2021. "Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness," Energies, MDPI, vol. 14(11), pages 1-24, June.
  20. Benth, Fred & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers 2009-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  21. Ahmet Göncü, 2013. "Comparison of temperature models using heating and cooling degree days futures," Journal of Risk Finance, Emerald Group Publishing, vol. 14(2), pages 159-178, February.
  22. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
  23. Eckhard Platen, 2004. "A Benchmark Framework for Risk Management," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 15, pages 305-335, World Scientific Publishing Co. Pte. Ltd..
  24. Beyazıt, Mehmet Fuat & Koc, Erdogan, 2010. "An analysis of snow options for ski resort establishments," Tourism Management, Elsevier, vol. 31(5), pages 676-683.
  25. Yuji Yamada & Takuji Matsumoto, 2021. "Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets," Energies, MDPI, vol. 14(21), pages 1-28, November.
  26. Andrea Barth & Fred Espen Benth & Jurgen Potthoff, 2011. "Hedging of Spatial Temperature Risk with Market-Traded Futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(2), pages 93-117.
  27. Svec, J. & Stevenson, M., 2007. "Modelling and forecasting temperature based weather derivatives," Global Finance Journal, Elsevier, vol. 18(2), pages 185-204.
  28. Martina Bobriková, 2016. "Weather Risk Management in Agriculture," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(4), pages 1303-1309.
  29. Lee, Yongheon & Oren, Shmuel S., 2009. "An equilibrium pricing model for weather derivatives in a multi-commodity setting," Energy Economics, Elsevier, vol. 31(5), pages 702-713, September.
  30. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research.
  31. Yuji Yamada, 2008. "Optimal Hedging of Prediction Errors Using Prediction Errors," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 67-95, March.
  32. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856, HAL.
  33. Kanamura, Takashi, 2019. "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper 92009, University Library of Munich, Germany.
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