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What is Bootstrap Method for Weather Derivative Pricing about?

This document discusses assessing price uncertainties in weather derivative contracts through a bootstrap approach. It models temperature data from Paris and Chicago using an ARMA model and estimates futures prices under this model. It finds that statistical errors in parameter estimates can lead to substantial uncertainties in futures prices, with confidence intervals up to 10% of the assessed prices. The document aims to provide confidence intervals for prices to help determine reserve policies and better

Author

MilliMehra

Language

EN