Geman, Hélyette; Leonardi, Marie‐Pascale - In: Managerial Finance 31 (2005) 6, pp. 46-72
The goal of the paper is to analyse the various issues attached to the valuation of weather derivatives. We focus our study on temperature‐related contracts since they are the most widely traded at this point and try to address the following questions: (i) should the quantity underlying the...