Modeling Drought Option Contracts-Reference-Cited by-同舟云学术

Modeling Drought Option Contracts

Published:2012-04-11 Issue: Volume:2012 Page:1-16
ISSN:2090-5572
Container-title:ISRN Applied Mathematics
language:en
Short-container-title:ISRN Applied Mathematics

Author:

Zhu Jielin¹,Pollanen Marco²,Abdella Kenzu²,Cater Bruce³

Affiliation:

1. Department of Mathematics, University of British Columbia, Vancouver, BC, Canada V6T 1Z2

2. Department of Mathematics, Trent University, Peterborough, ON, Canada K9J 7B8

3. Department of Economics, Trent University, Peterborough, ON, Canada

Abstract

We introduce a new financial weather derivative—a drought option contract—designed to protect agricultural producers from potential income loss due to agricultural drought. The contract is based on an index that reflects the severity of drought over a long period. By modeling temperature and precipitation, we price a hypothetical drought contract based on data from the Jinan climate station located in a dry region of China.

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Hindawi Limited

Subject

General Medicine

Link

http://downloads.hindawi.com/archive/2012/251835.pdf

Reference15 articles.

1. On modelling and pricing weather derivatives

2. Weather derivatives valuation and market price of weather risk

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