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

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dc.creatorCarmona, Rene'
dc.creatorVillani, Dario
dc.date2003-05-18
dc.date.accessioned2026-07-07T12:06:47Z
dc.date.available2026-07-07T12:06:47Z
dc.descriptionWe 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.
dc.description5 pages, 2 figures. Key words: Monte Carlo Methods, Weather Derivatives, Commodity Markets
dc.identifierhttps://arxiv.org/abs/cond-mat/0305417
dc.identifierhttp://arxiv.org/abs/cond-mat/0305417
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208756
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Finance
dc.titleWeak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options
dc.typetext

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