- Author
- Kupczyk Józef (Akademia Ekonomiczna we Wrocławiu)
- Title
- Wycena opcji pogodowej metodami aktuarialnymi
Valuation of the Weather Option with Actuarial Methods - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2006, nr 1133, s. 235-245, rys., tab., bibliogr. 5 poz.
- Issue title
- Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek
- Keyword
- Pogodowe instrumenty finansowe, Opcje, Modele wyceny
Weather financial instruments, Options, Pricing models - Note
- summ.
- Abstract
- W artykule rozważana jest wycena opcji pogodowej typu europejskiego, gdyż tego typu opcje pogodowe są najbardziej popularne. (fragment tekstu)
A weather option is one of the newest achievements of financial engineering. One should expect appearing of instruments of this type on the financial market in Poland.
Valuation of the weather option, alike like of remained weather derivative securities, has not been, like to date, worked out in the satisfying way. In the article actuarial methods of the valuation of the weather option, widely used at present in practice, are considered. An example of the valuation of the weather option contract, with specification for Polish conditions, illustrates the considerations. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Bibliography
-
- Alaton P., Djehiche B., Stillberger D., On Modelling and Pricing Weather Derivatives, http://www.energyforum.net/downloads/reports/fat_l.pdf, 2002.
- Benth F.A., Šaltytė-Benth J., Stochastic Modelling of Temperature Variations with a View towards Weather Derivatives, http://folk.uio.no/fredb/temp-analysis.pdf, 2004.
- Brody D.C., Syroka J., Zervos M., Dynamical Pricing of Weather Derivatives, "Quantitative Finance" 2002 vol. 3, s. 189-198.
- Dornier F., Queruel M., Caution to the Wind, "Weather Risk. A Risk and Energy & Power Risk Management Special Report", The Grange Press, South- wick, 2000, s. 30-32.
- Jewson S., Brix A., Ziehmann Ch., Weather Derivative Valuation. The Meteorological, Statistical, Financial and Mathematical Foundations, Cambridge University Press, Cambridge 2005.
- Cited by
- ISSN
- 0324-8445
- Language
- pol
