10.8 Weather Derivatives Pricing and the Market Forecast

Thursday, 13 January 2000: 4:15 PM
Kevin D. Green, Castlebridge Weather Markets, Chicago, IL

An important issue in purchasing or selling a weather derivative is its fair value price. Methods of pricing these derivatives are introduced. The weather derivatives market provides a bid (to buy) and an offer (to sell) for each structure. This market price can be used to obtain a forecast for the weather station used in the weather derivative index.
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