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)
Pages: 19 pages
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (10)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this paper

More papers in Rotman School of Management - Finance from Rotman School of Management, University of Toronto Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().