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No offense but it will be much more complicated than what you think... I'm not even sure that you are familiar with risk-neutral pricing in the first place? I'll try to give you some clues. This security is called a basket option. On top of the multi-asset feature, there are non-trivial mechanisms embedded in the contract you mention: an auto-callable ...


Please note that this is subjective, but I hope it can help. I was told that Frozen Concentrated Orange Juice forward contracts (FCOJ) are used to have a proxy for weather risk. you can imagine have a look at other agricultural forwards, since for these kind of market, demand is linked to economy level (=...


If you are looking for derivatives on weather (temperature, heating degree days, cooling degree days) and a financial "index", I think your best bet would be to look for hybrid weather/commodity derivatives.


This is not a direct answer to your question as I am not sure whether the instrument you described exists, but OP would probably find the mathematics behind transmission congestion contracts very interesting. Transmission congestion contracts enable the hedging of fluctuations in electricity prices across the power grid, and are auctioned off by regional ...

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