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Pricing weather derivatives for the Chardonnay cultivar in Wellington using a credit default swap methodology

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  • Holemans, N.
  • Van Vuuren, G.
  • Styger, P.

Abstract

References Citations Metrics Reprints & Permissions View PDF(open in a new window) Abstract Most South African farmers employ standard insurance to protect crops from natural disasters such as hail or strong winds, but no insurance contracts exist to compensate for rain damage (although floods are covered), or for temperature damage to relevant crops. Weather derivatives do exist, but are mostly available in foreign markets and used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading is rare. This paper establishes a pricing equation for weather derivatives specifically for use in the South African market. The methodology employed borrows heavily from the techniques used to price credit default swaps.

Suggested Citation

  • Holemans, N. & Van Vuuren, G. & Styger, P., 2011. "Pricing weather derivatives for the Chardonnay cultivar in Wellington using a credit default swap methodology," International Journal of Agricultural Sciences and Technology (IJAGST), SvedbergOpen, vol. 50(4), December.
    • Handle: RePEc:ags:ijag24:347283
    DOI: 10.22004/ag.econ.347283
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    Keywords

    Agribusiness; Climate Change;

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