An equilibrium pricing model for weather derivatives in a multi-commodity setting-Reference-Cited by-同舟云学术

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An equilibrium pricing model for weather derivatives in a multi-commodity setting

Published:2009-09 Issue:5 Volume:31 Page:702-713
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Lee Yongheon,Oren Shmuel S.

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference14 articles.

1. Optimal cross hedging of insurance derivatives;Ankirchner,2006

2. Modeling electricity forward curve dynamics in the Nordic market. Modelling prices in competitive electricity markets;Audet,2004

3. Portfolio effects and valuation of weather derivatives;Brockett;Financ. Rev.,2006

4. Pricing weather derivative: an equilibrium approach;Cao,1999

5. Optimal positioning in derivative securities;Carr;Quantitative Finance,2001

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