Pricing Weather Derivative: An Equilibrium Approach

Melanie Cao () and J. Wei

Rotman School of Management - Finance from Rotman School of Management, University of Toronto

Abstract: This paper proposes and implements as equilibrium framework for valuing weather derivatives. We generalize the Lucas Model of 1978 to include the daily temperature as a fundamental variable in the economy.

Keywords: WEATHER; ENERGY; DEMAND; EVALUATION (search for similar items in EconPapers)
JEL-codes: Q40 (search for similar items in EconPapers)
Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:fth:rotfin:99-002

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