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Quantitative Finance · Glosario

¿Qué es Weather derivative?

Definition 11.7 Markets III: Commodities, Energy and Crypto · Capítulo 11 — Freight, Weather and Other Corners

A weather derivative is a contract whose payoff is a function of a weather index at a named station over a period: a swap that pays a tick per degree day above or below a strike, or an option that pays only on one side, usually with a cap.

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