Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122208176> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3122208176 abstract "Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR) are often not incorporated. We adopt a risk neutral approach (for each location) that allows the incorporation of meteorological forecasts in the framework of WD pricing. We study weather Risk Premiums (RPs) implied from either the information MPR gain or the meteorological forecasts. The size of RPs is interesting for investors and issuers of weather contracts to take advantages of geographic diversification, hedging effects and price determinations. By conducting an empirical analysis to London and Rome WD data traded at the Chicago Mercantile Exchange (CME), we find out that either incorporating the MPR or the forecast outperforms the standard pricing techniques." @default.
- W3122208176 created "2021-02-01" @default.
- W3122208176 creator A5038402487 @default.
- W3122208176 creator A5053742635 @default.
- W3122208176 creator A5055736449 @default.
- W3122208176 date "2012-01-01" @default.
- W3122208176 modified "2023-09-23" @default.
- W3122208176 title "Forecast Based Pricing of Weather Derivatives" @default.
- W3122208176 cites W1848203001 @default.
- W3122208176 cites W1972440773 @default.
- W3122208176 cites W1981935966 @default.
- W3122208176 cites W2018146083 @default.
- W3122208176 cites W2021343702 @default.
- W3122208176 cites W2027036679 @default.
- W3122208176 cites W2033536786 @default.
- W3122208176 cites W2109920861 @default.
- W3122208176 cites W2132090039 @default.
- W3122208176 cites W2162527597 @default.
- W3122208176 cites W2169736048 @default.
- W3122208176 cites W2408556348 @default.
- W3122208176 cites W3122403693 @default.
- W3122208176 cites W3122639188 @default.
- W3122208176 cites W3123616420 @default.
- W3122208176 cites W3124955081 @default.
- W3122208176 cites W4230011272 @default.
- W3122208176 cites W4231706015 @default.
- W3122208176 cites W4235763763 @default.
- W3122208176 cites W4241532440 @default.
- W3122208176 cites W4241646543 @default.
- W3122208176 cites W4253205876 @default.
- W3122208176 cites W4256029970 @default.
- W3122208176 cites W4256521841 @default.
- W3122208176 cites W4301460649 @default.
- W3122208176 doi "https://doi.org/10.2139/ssrn.2894218" @default.
- W3122208176 hasPublicationYear "2012" @default.
- W3122208176 type Work @default.
- W3122208176 sameAs 3122208176 @default.
- W3122208176 citedByCount "3" @default.
- W3122208176 countsByYear W31222081762013 @default.
- W3122208176 countsByYear W31222081762020 @default.
- W3122208176 crossrefType "journal-article" @default.
- W3122208176 hasAuthorship W3122208176A5038402487 @default.
- W3122208176 hasAuthorship W3122208176A5053742635 @default.
- W3122208176 hasAuthorship W3122208176A5055736449 @default.
- W3122208176 hasBestOaLocation W31222081762 @default.
- W3122208176 hasConcept C106159729 @default.
- W3122208176 hasConcept C144133560 @default.
- W3122208176 hasConcept C153294291 @default.
- W3122208176 hasConcept C162118730 @default.
- W3122208176 hasConcept C162324750 @default.
- W3122208176 hasConcept C205649164 @default.
- W3122208176 hasConceptScore W3122208176C106159729 @default.
- W3122208176 hasConceptScore W3122208176C144133560 @default.
- W3122208176 hasConceptScore W3122208176C153294291 @default.
- W3122208176 hasConceptScore W3122208176C162118730 @default.
- W3122208176 hasConceptScore W3122208176C162324750 @default.
- W3122208176 hasConceptScore W3122208176C205649164 @default.
- W3122208176 hasLocation W31222081761 @default.
- W3122208176 hasLocation W31222081762 @default.
- W3122208176 hasLocation W31222081763 @default.
- W3122208176 hasLocation W31222081764 @default.
- W3122208176 hasOpenAccess W3122208176 @default.
- W3122208176 hasPrimaryLocation W31222081761 @default.
- W3122208176 hasRelatedWork W1576871637 @default.
- W3122208176 hasRelatedWork W1967023780 @default.
- W3122208176 hasRelatedWork W2001536403 @default.
- W3122208176 hasRelatedWork W2015502759 @default.
- W3122208176 hasRelatedWork W2019329872 @default.
- W3122208176 hasRelatedWork W2079227393 @default.
- W3122208176 hasRelatedWork W2792114701 @default.
- W3122208176 hasRelatedWork W2953464030 @default.
- W3122208176 hasRelatedWork W3126289917 @default.
- W3122208176 hasRelatedWork W4240542025 @default.
- W3122208176 isParatext "false" @default.
- W3122208176 isRetracted "false" @default.
- W3122208176 magId "3122208176" @default.
- W3122208176 workType "article" @default.