Variance reduction methods at the pricing of weather options

Gulnora Raimova ()
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Gulnora Raimova: University of World Economy and Diplomacy, Uzbekistan

Applied Econometrics, 2011, vol. 21, issue 1, 3-15

Abstract: Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature

Keywords: Weather options; stochastic model; option pricing; Monte Carlo method; statistical modeling; variance reduction (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Date: 2011
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