A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2018; you can also visit the original URL.
The file type is
Valuation and hedging of weather derivatives on monthly average temperature
Journal of Risk
In this paper, we develop two types of pricing approach, one based on the utility indifference valuation and the other on non-parametric trend prediction, and estimate their hedge effect on energy businesses using empirical data. First, we consider an over-the-counter market for weather derivatives between an insurance company and an industry that runs a project affected by a weather index, for example, average temperature. We demonstrate supply and demand lines corresponding to those twodoi:10.21314/jor.2007.157 fatcat:3biez2vxs5eaboaptle4bt6zqa