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Pricing Approaches of Temperature Derivatives

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Weather Derivatives

Abstract

This chapter reviews in detail the most important and more often cited models proposed in literature to represent the temperature driving process. In this chapter, the strengths and weaknesses of prior studies will be analyzed in order to develop an appropriate model that describes the temperature dynamics and that it can be used in pricing of various temperature derivatives.

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Authors and Affiliations

  1. School of Mathematics, Statistics and Actuarial Science, University of Kent, Canterbury, UK

    Antonis K. Alexandridis

  2. Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece

    Achilleas D. Zapranis

Authors
  1. Antonis K. Alexandridis
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  2. Achilleas D. Zapranis
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Alexandridis, A.K., Zapranis, A.D. (2013). Pricing Approaches of Temperature Derivatives. In: Weather Derivatives. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-6071-8_4

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