BENTH, FRED ESPEN; J; Umacr; RAT; Edot; SALTYT; Edot; BENTH - In: Scandinavian Journal of Statistics 34 (2007) 4, pp. 746-767
This paper analyzes the weather derivatives traded at the Chicago Mercantile Exchange (CME), with futures and options written on different temperature indices. We propose to model the temperature dynamics as a continuous-time autoregressive process with lag "p" and seasonal variation. The choice...