| dc.date.accessioned | 2013-03-12T08:19:22Z | |
| dc.date.available | 2013-03-12T08:19:22Z | |
| dc.date.issued | 2005 | en_US |
| dc.date.submitted | 2009-11-24 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10566 | |
| dc.description.abstract | We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to almost 43 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange (CME). Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD-futures) and the cumulative average daily temperature (so-called CAT-futures) are calculated, along with a discussion on how to evaluate call and put options with these futures as underlying. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2005). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | THE VOLATILITY OF TEMPERATURE AND PRICING OF WEATHER DERIVATIVES | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-24 | en_US |
| dc.rights.holder | Copyright 2005 The Author(s) | |
| dc.creator.author | Benth, Fred Espen | en_US |
| dc.creator.author | Saltyte-Benth, Jurate | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23600 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97208 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10566/1/pm12-05.pdf | |