Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken

Pierre Chevalier, Thomas Heidorn and Christian Krieger

No 49, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature options.

Keywords: Wetterderivate; Risikomanagement; Heating Days Call; Heating Days Put; Average Temperature Collar; Average Temperature Swap; Hedging gas prices with weather derivatives (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (72)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/27812/1/378774816.PDF (application/pdf)

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:zbw:fsfmwp:49

Access Statistics for this paper

More papers in Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().