The Use of The Black-Scholes Model In The Field Of Weather Derivatives

被引：6

作者：

Mircea, Botos Horia ^{[1
]}

Cristina, Ciumas ^{[1
]}

机构：

[1] Univ Babes Bolyai, Dept Finance, Cluj Napoca 400591, Romania

来源：

INTERNATIONAL CONFERENCE EMERGING MARKETS QUERIES IN FINANCE AND BUSINESS | 2012年 / 3卷

关键词：

Black-Scholes; Weather Derivatives; HDD; CDD;

D O I：

10.1016/S2212-5671(12)00203-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The Black-Scholes model is a renowned pricing method for European options. Weather derivatives are a financial product at the convergence of the insurance and stock markets that are at the present of a high level of interest. This product can hedge and be a profitable investment at the same time, and can be used on its own or as part of a portfolio. In this paper we wish to analyze if and how the Black-Scholes model applies to Weather derivatives (c) 2012 Published by Elsevier Ltd. Selection and/or peer review under responsibility of Emerging Markets Queries in Finance and Business local organization

引用

页码：611 / 616

页数：6

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