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The pricing of temperature futures at the Chicago Mercantile Exchange

Dorfleitner, Gregor and Wimmer, Maximilian (2010) The pricing of temperature futures at the Chicago Mercantile Exchange. Journal of Banking & Finance 34 (6), pp. 1360-1370.

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Other URL: http://dx.doi.org/10.1016/j.jbankfin.2009.12.004, http://ssrn.com/abstract=1520067


Abstract

This paper analyzes observed prices of U.S. temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach without detrending captures the prices exceptionally well. Moreover, weather forecasts significantly influence prices up to 11 days ahead. It is shown that valuations of temperature futures relying on a model without detrending yield biased ...

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Export bibliographical data

Item Type:Article
Date:1 June 2010
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1016/j.jbankfin.2009.12.004 DOI
Classification:
NotationType
C53Journal of Economics Literature Classification
G13Journal of Economics Literature Classification
G29Journal of Economics Literature Classification
Q54Journal of Economics Literature Classification
Keywords:Weather derivatives; Index modeling; Weather forecast; Futures pricing; Trading strategy
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Dr. Maximilian Wimmer
Deposited On:04 Dec 2009 11:22
Last Modified:13 Mar 2014 14:01
Item ID:9816
Owner Only: item control page
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