A bootstrap approach to the pricing of weather derivatives

Abstract : This paper investigates price uncertainties in weather derivatives contracts through a bootstrap approach. Futures prices are computed under a periodic ARMA model in an actuarial framework for two different locations, Paris and Chicago. We show that statistical errors may lead to substantial uncertainties on futures prices with confidence intervals up to 20% of the assessed prices. Looking at the source of uncertainty, this suggests that some efforts have to be done in the modelling of the trend and seasonality in temperature.
Type de document :
Article dans une revue
Bulletin Français d'Actuariat, Institut des Actuaires, 2004, 6 (12), pp.163-171
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https://hal.archives-ouvertes.fr/hal-00409725
Contributeur : Grégory Six <>
Soumis le : mercredi 12 août 2009 - 15:15:00
Dernière modification le : mardi 23 octobre 2018 - 14:36:04

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  • HAL Id : hal-00409725, version 1

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Olivier Roustant, J.-P. Laurent, Xavier Bay, L. Carraro. A bootstrap approach to the pricing of weather derivatives. Bulletin Français d'Actuariat, Institut des Actuaires, 2004, 6 (12), pp.163-171. 〈hal-00409725〉

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