Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Valuation of the Weather Option with Actuarial Methods
Języki publikacji
Abstrakty
W artykule rozważana jest wycena opcji pogodowej typu europejskiego, gdyż tego typu opcje pogodowe są najbardziej popularne. (fragment tekstu)
A weather option is one of the newest achievements of financial engineering. One should expect appearing of instruments of this type on the financial market in Poland.
Valuation of the weather option, alike like of remained weather derivative securities, has not been, like to date, worked out in the satisfying way. In the article actuarial methods of the valuation of the weather option, widely used at present in practice, are considered. An example of the valuation of the weather option contract, with specification for Polish conditions, illustrates the considerations. (original abstract)
Valuation of the weather option, alike like of remained weather derivative securities, has not been, like to date, worked out in the satisfying way. In the article actuarial methods of the valuation of the weather option, widely used at present in practice, are considered. An example of the valuation of the weather option contract, with specification for Polish conditions, illustrates the considerations. (original abstract)
Rocznik
Strony
235--245
Opis fizyczny
Twórcy
autor
- Akademia Ekonomiczna we Wrocławiu
Bibliografia
- Alaton P., Djehiche B., Stillberger D., On Modelling and Pricing Weather Derivatives, http://www.energyforum.net/downloads/reports/fat_l.pdf, 2002.
- Benth F.A., Šaltytė-Benth J., Stochastic Modelling of Temperature Variations with a View towards Weather Derivatives, http://folk.uio.no/fredb/temp-analysis.pdf, 2004.
- Brody D.C., Syroka J., Zervos M., Dynamical Pricing of Weather Derivatives, "Quantitative Finance" 2002 vol. 3, s. 189-198.
- Dornier F., Queruel M., Caution to the Wind, "Weather Risk. A Risk and Energy & Power Risk Management Special Report", The Grange Press, South- wick, 2000, s. 30-32.
- Jewson S., Brix A., Ziehmann Ch., Weather Derivative Valuation. The Meteorological, Statistical, Financial and Mathematical Foundations, Cambridge University Press, Cambridge 2005.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171559955