Pricing Weather Derivatives: A Time Series Neural Network Approach

Marco Hening-Tallarico and Pablo Olivares

Papers from arXiv.org

Abstract: The objective of the paper is to price weather derivative contracts based on temperature and precipitation as underlying climate variables. We use a neural network approach combined with time series forecast to value Pacific Rim index in Toronto and Chicago

Date: 2024-11
New Economics Papers: this item is included in nep-agr, nep-big, nep-cmp and nep-env
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2411.12013

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