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Variance reduction methods at the pricing of weather options

Author

Listed:
  • Raimova, Gulnora

    (University of World Economy and Diplomacy, Uzbekistan)

Abstract

Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature

Suggested Citation

  • Raimova, Gulnora, 2011. "Variance reduction methods at the pricing of weather options," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 21(1), pages 3-15.
    • Handle: RePEc:ris:apltrx:0056
    as

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    References listed on IDEAS

    as
    1. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2004. "Pricing Weather Derivatives," Working Papers 28536, Arizona State University, Morrison School of Agribusiness and Resource Management.
    2. Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, vol. 42(6), pages 926-938, June.
    3. 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.
    4. Dwight R. Sanders, 2004. "Pricing Weather Derivatives," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(4), pages 1005-1017.
    5. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    6. Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Weather options; stochastic model; option pricing; Monte Carlo method; statistical modeling; variance reduction;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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