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Evaluation des dérivés climatiques sur degrés-jours

Abstract : The introduction of the first weather derivative based upon the degree-days in the United-States in 1997 has led to a great number of work dedicated to the valuation of this product and to the modelling of the daily average temperature. However until now, no empirical study has compared all together the pricing approches and the temperature models which were suggested in the literature. Therefore in the present thesis, we set out to compute the prices of the weather futures and call options from the free-arbitrage, actuarial and consumption-based methods.We were particularly interested in the pricing of the contracts on the degree-days of Chicago, Cincinnati and New York for which frequent transactions were observed. The linked analysis of the estimated prices of the weather futures from the different pricing methodologies has shown that the calibration of the pricing models was necessary to obtain predictions of the prices which were closed to the quotations and more particularly to the real realization of the index on degree-days at the expiration date.
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Contributor : Hélène Hamisultane <>
Submitted on : Friday, May 30, 2008 - 6:19:16 PM
Last modification on : Tuesday, November 19, 2019 - 10:06:07 AM
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  • HAL Id : tel-00283848, version 1


Hélène Hamisultane. Evaluation des dérivés climatiques sur degrés-jours. Economies et finances. Université de Nanterre - Paris X, 2007. Français. ⟨tel-00283848⟩



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