Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options

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We price weather-contingent options by use of Monte Carlo simulations. After calibrating the models to fit quoted prices, we analyze bid-ask spreads in terms of correlations across markets. Results are presented for a double-trigger Weather vs. Natural Gas call option.
5 pages, 2 figures. Key words: Monte Carlo Methods, Weather Derivatives, Commodity Markets

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Disordered Systems and Neural Networks, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208756

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0305417
 http://arxiv.org/abs/cond-mat/0305417

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arXiv