The pricing of temperature futures at the Chicago Mercantile Exchange

Author:

Dorfleitner Gregor,Wimmer Maximilian

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. On modelling and pricing weather derivatives;Alaton;Applied Mathematical Finance,2002

2. Stochastic modelling of temperature variations with a view towards weather derivatives;Benth;Applied Mathematical Finance,2005

3. The volatility of temperature and pricing of weather derivatives;Benth;Quantitative Finance,2007

4. Putting a price on temperature;Benth;Scandinavian Journal of Statistics,2007

5. Weather data: cleaning and enhancement;Boissonnade;Climate Risk and the Weather Market, Risk Books,2002

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