Pricing weather derivatives by marginal value
By Mark H. A. Davis. 2001
225 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5b012e2db400c5e9c9d89259b61de43ffd098a91
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In Economics and Econometrics
- J. Šaltytė Benth
- Vicky Henderson
- David Hobson *
- Steen Koekebakker
- Fred Espen Benth
- Pauline Barrieu
- J. Syroka
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In Finance
- David Hobson *
- J. Šaltytė Benth
- Vicky Henderson
- Steen Koekebakker
- Pauline Barrieu
- Fred Espen Benth
- Nicole El Karoui
- J. Syroka
Citations in the corpus
- Utility indifference pricing : an overview (2009, background): “The idea was also used in papers of Davis and Norman [14], Davis et al [15], Davis and Zariphopoulou [16] and Constantinides and Zariphopoulou [8], again in the context of transactions costs.”
- Inf-convolution of risk measures and optimal risk transfer (2005, background): “We assume that the two parties to the contract, the buyer and the seller, may invest on the financial market, possibly with different access to assets.”
- On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003, background): “This view is taken in Davis (2001), where he prices weather derivatives by relying on an approximation of the accumulated Heating degree days(1) as a geometric Brownian motion.”
- Dynamical pricing of weather derivatives (2002, background): “An important step in this direction has been proposed by Davis (2001).”
- Weather Forecasting for Weather Derivatives (2005, unknown): “Davis, M. (2001), “Pricing Weather Derivatives by Marginal Value,” Quantitative Finance, 1, 305-308. Dawid, A.P. (1984), “Statistical Theory: The Prequential Approach,” Journal of the Royal Statistical Society, Series A, 147, 278-292.”
- Putting a Price on Temperature * (2007, methodology): “Davis (2001) proposed to use a marginal utility technique to price temperature derivatives based on the HDD-index.”
- The volatility of temperature and pricing of weather derivatives (2007, background): “A different view on pricing weather derivatives is taken by Davis [7], where the HDD-index is modeled directly by a geometric Brownian motion.”