Pricing portfolios of contracts on cumulative temperature with risk premium determination

Srdjan Stojanovic; Ahmet Göncü

doi:10.3233/RDA-140102

Pricing portfolios of contracts on cumulative temperature with risk premium determination

Srdjan Stojanovic^*, Ahmet Göncü

^*Bu çalışma için yazışmadan sorumlu yazar

Araştırma sonucu: Dergiye katkı › Makale › bilirkişi

1 Atıf (Scopus)

Özet

Pricing formulas for components of a portfolio of temperature-based weather derivatives, as well as the corresponding hedging formula, are derived using the recent general theory of neutral and indifference pricing and hedging in incomplete markets. The derived pricing formulas have the flexibility to account for the total exposure, i.e., for the number of weather derivatives contracts held. In particular, we obtain a structural form for the market price of risk (the risk premium).

Orijinal dil	İngilizce
Sayfa (başlangıç-bitiş)	75-98
Sayfa sayısı	24
Dergi	Risk and Decision Analysis
Hacim	5
Basın numarası	1
DOI'lar	https://doi.org/10.3233/RDA-140102
Yayın durumu	Yayınlandı - 2014
Harici olarak yayınlandı	Evet

BM SKH

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Belgeye Erişim

10.3233/RDA-140102

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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title = "Pricing portfolios of contracts on cumulative temperature with risk premium determination",

abstract = "Pricing formulas for components of a portfolio of temperature-based weather derivatives, as well as the corresponding hedging formula, are derived using the recent general theory of neutral and indifference pricing and hedging in incomplete markets. The derived pricing formulas have the flexibility to account for the total exposure, i.e., for the number of weather derivatives contracts held. In particular, we obtain a structural form for the market price of risk (the risk premium).",

keywords = "cumulative average temperatures, hedging, indifference pricing, Neutral pricing, portfolios of weather derivatives",

author = "Srdjan Stojanovic and Ahmet G{\"o}nc{\"u}",

year = "2014",

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TY - JOUR

T1 - Pricing portfolios of contracts on cumulative temperature with risk premium determination

AU - Stojanovic, Srdjan

AU - Göncü, Ahmet

PY - 2014

Y1 - 2014

N2 - Pricing formulas for components of a portfolio of temperature-based weather derivatives, as well as the corresponding hedging formula, are derived using the recent general theory of neutral and indifference pricing and hedging in incomplete markets. The derived pricing formulas have the flexibility to account for the total exposure, i.e., for the number of weather derivatives contracts held. In particular, we obtain a structural form for the market price of risk (the risk premium).

AB - Pricing formulas for components of a portfolio of temperature-based weather derivatives, as well as the corresponding hedging formula, are derived using the recent general theory of neutral and indifference pricing and hedging in incomplete markets. The derived pricing formulas have the flexibility to account for the total exposure, i.e., for the number of weather derivatives contracts held. In particular, we obtain a structural form for the market price of risk (the risk premium).

KW - cumulative average temperatures

KW - hedging

KW - indifference pricing

KW - Neutral pricing

KW - portfolios of weather derivatives

UR - http://www.scopus.com/inward/record.url?scp=84900465287&partnerID=8YFLogxK

U2 - 10.3233/RDA-140102

DO - 10.3233/RDA-140102

M3 - Article

AN - SCOPUS:84900465287

SN - 1569-7371

VL - 5

SP - 75

EP - 98

JO - Risk and Decision Analysis

JF - Risk and Decision Analysis

IS - 1

ER -

Pricing portfolios of contracts on cumulative temperature with risk premium determination

Özet

BM SKH

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

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