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Temperature Models for Pricing Weather Derivatives

DOI to cite this document:
10.5283/epub.11260
Schiller, Frank ; Seidler, Gerold ; Wimmer, Maximilian
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Date of publication of this fulltext: 07 Dec 2009 12:39


Abstract

We present four models for predicting temperatures that can be used for pricing weather derivatives. Three of the models have been suggested in previous literature, and we propose another model which uses splines to remove trend and seasonality effects from temperature time series in a flexible way. Using historical temperature data from 35 weather stations across the United States, we test the ...

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