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 10% of the assessed prices.
Type de document :
Communication dans un congrès
35 eme colloque ASTIN, Jun 2003, Bergen, Norway. 2003
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https://hal.archives-ouvertes.fr/hal-00699544
Contributeur : Florent Breuil <>
Soumis le : lundi 21 mai 2012 - 10:53:00
Dernière modification le : mardi 23 octobre 2018 - 14:36:04

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  • HAL Id : hal-00699544, version 1

Citation

Olivier Roustant, J.-P. Laurent, Xavier Bay, L. Carraro. A bootstrap approach to the pricing of weather derivatives. 35 eme colloque ASTIN, Jun 2003, Bergen, Norway. 2003. 〈hal-00699544〉

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