The main objective of this article is to calculate the price of weather derivatives for different African countries with payout depending on temperature. A new approach of computing degree day contracts is shown and gives another scale to the numerical relevance and practical implementation of...

Since the seminal Black-Scholes model was introduced in the 1970s, researchers and practitioners have been continuously developing new models to enhance the original. All these models aim to ease one or more of the Black-Scholes assumptions, but this often results in a set of equations that is...

According to general asset pricing theory, options should reward their holders for the systematic risk they are bearing. In this paper, we study the returns of foreign exchange options. We find that, by sorting options according to the distance of their implied volatility from the historical...

The main objective of this article is to calculate the price of weather derivatives for different African countries with payout depending on temperature. A new approach of computing degree day contracts is shown and gives another scale to the numerical relevance and practical implementation of...

The Green Paper entitled “Audit policy: Lessons from the crisis” (European Commission, 2010) recommends the introduction of joint audit for European listed companies, based on the French experience, to limit the market dominance of the Big 4 and to promote audit quality. However, the...