Transactions of the Japan Society for Industrial and Applied Mathematics
Online ISSN : 2424-0982
ISSN-L : 0917-2246
A Closed-form Solution of Weather Derivative as an Example of Indifference Prices Under Exponential Preferences
Koichi Miyazaki
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2005 Volume 15 Issue 2 Pages 59-72

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Abstract
In this research, I derive a closed-form solution of weather derivative as an example of indifference prices under exponential preferences and then examine the price sensitivities of the derivative. To the goal, firstly, I point out the continuous form of Dischel model is Hull and While model in the literature of interest rate model. Secondly, I derive the process of the accumulated temperature process based on the continuous Dischel model.
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© 2005 The Japan Society for Industrial and Applied Mathematics
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