Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei (2004) price them by using the consumption-based asset pricing model of Lucas (1978) and by assuming different values for the constant...

Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument. Some authors suggest to use the actuarial pricing approach to value...

Since the introduction of the first weather derivative in the United-States in 1997, a significant number of work was directed towards the pricing of this product and the modelling of the daily average temperature which characterizes most of the traded weather instruments. The weather...

Climate changes have sparked growing interest for the weather derivatives which are financial contracts relied on a meteorological index and allowing companies to hedge against climate risk. These contracts present the particularity of providing compensation to the buyer when the meteorological...

This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity...