IDEAS home Printed from https://ideas.repec.org/a/eee/touman/v31y2010i5p676-683.html
   My bibliography  Save this article

An analysis of snow options for ski resort establishments

Author

Listed:
  • Beyazıt, Mehmet Fuat
  • Koc, Erdogan

Abstract

This study proposes a pricing method for put options on snow level for tourism establishments operating in Palandoken ski resort in the east of Turkey. In the calculation of put prices historical densities and Edgeworth adjusted densities methods together with Alaton, Djehiche, and Stillberger (2002) method have been applied. The findings show that there may be significant differences in the prices calculated by the three different methods, hence enabling both parties, i.e. buyers and sellers, with bases in the negotiation process. As the study is primarily aimed at providing a framework for pricing put options on snow levels in general, it is expected that it would be of use not only for this particular ski resort but also for various ski resorts in the world.

Suggested Citation

  • Beyazıt, Mehmet Fuat & Koc, Erdogan, 2010. "An analysis of snow options for ski resort establishments," Tourism Management, Elsevier, vol. 31(5), pages 676-683.
    • Handle: RePEc:eee:touman:v:31:y:2010:i:5:p:676-683
    DOI: 10.1016/j.tourman.2009.07.012
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0261517709001381
    Download Restriction: no
    File URL: https://libkey.io/10.1016/j.tourman.2009.07.012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 23-53, March.
    2. A. Zapranis & A. Alexandridis, 2008. "Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 355-386.
    3. Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March.
    4. Robert JARROW & Andrew RUDD, 2008. "Approximate Option Valuation For Arbitrary Stochastic Processes," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31, World Scientific Publishing Co. Pte. Ltd..
    5. Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 1-20.
    6. Mark Rubinstein., 2000. "On the Relation Between Binomial and Trinomial Option Pricing Models," Research Program in Finance Working Papers RPF-292, University of California at Berkeley.
    7. Fred ESPEN Benth & Jurate saltyte Benth, 2007. "The volatility of temperature and pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 553-561.
    8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    9. Rubinstein, Mark, 1994. "Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
    10. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    11. Rubinstein, Mark, 2000. "On the Relation Between Binomial and Trinomial Option Pricing Models," Research Program in Finance, Working Paper Series qt3bw450n0, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aurélie Corne & Olga Goncalves & Nicolas Peypoch, 2020. "Evaluating the performance drivers of French ski resorts: A hierarchical approach," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(3), pages 389-405, April.
    2. Ziye Shang & Jian Ming Luo & Anthony Kong, 2022. "Topic Modelling for Ski Resorts: An Analysis of Experience Attributes and Seasonality," Sustainability, MDPI, vol. 14(6), pages 1-15, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ahmet Göncü, 2013. "Comparison of temperature models using heating and cooling degree days futures," Journal of Risk Finance, Emerald Group Publishing, vol. 14(2), pages 159-178, February.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. Andrea Barth & Fred Espen Benth & Jurgen Potthoff, 2011. "Hedging of Spatial Temperature Risk with Market-Traded Futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(2), pages 93-117.
    4. Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
    5. Wei Yuan & Ahmet Göncü & Giray Ökten, 2015. "Estimating sensitivities of temperature-based weather derivatives," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1942-1955, April.
    6. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, September.
    7. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457, September.
    8. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
    9. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    10. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    11. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    12. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
    13. Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
    14. Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
    15. Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee, 2005. "Option pricing under extended normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 845-871, September.
    16. Eric Jacquier & Robert Jarrow, "undated". "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 07-96, Wharton School Rodney L. White Center for Financial Research.
    17. Hadjiyannakis, Steve & Culumovic, Louis & Welch, Robert L., 1998. "The relative mispricing of the constant variance American put model," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 149-171.
    18. Capelle-Blancard, G. & Jurczenko, E., 1999. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Papiers d'Economie Mathématique et Applications 2000.05, Université Panthéon-Sorbonne (Paris 1).
    19. repec:wyi:journl:002108 is not listed on IDEAS
    20. Dorfleitner, Gregor & Wimmer, Maximilian, 2010. "The pricing of temperature futures at the Chicago Mercantile Exchange," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1360-1370, June.
    21. Gaston Milanesi & Gabriela Pesce & Emilio El Alabi, 2015. "Strategic Asset Valuation: A Model Including Asymmetry and Kurtosis in Its Distribution in Continuous Time," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 1(1), pages 91-104, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:touman:v:31:y:2010:i:5:p:676-683. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/tourism-management .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.