Application of the bootstrap method to pricing of weather derivatives in power systems

@article{Mori2009ApplicationOT,
  title={Application of the bootstrap method to pricing of weather derivatives in power systems},
  author={Hiroyuki Mori and Darcey K. Iwashita},
  journal={2009 Transmission & Distribution Conference & Exposition: Asia and Pacific},
  year={2009},
  pages={1-4}
}
This paper proposes a bootstrap method for weather derivatives. The weather derivative is one of derivatives that avoid the profit drop due to the weather change of bad weather or abnormal climate. It aims at hedging a risk in a way that the profit is leveled. In Japan, power utilities have started to make a contract with gas utilities though banks or… CONTINUE READING