Temperature Modeling and Pricing of Temperature Option

摘要：

The temperature option not only provides the companies a way to transfer the weather risk, but also enriches our financial market investments. In this paper, we use the widely applied OrnsteinUhlenbeck process to build the temperature stochastic model, and use the daily average temperature data of Tianjin from 2000 to 2009 to evaluate the model parameters. Then we illustrate an example to illustrate the use of the Monte Carlo method to reasonably price temperature options.

关键词： weather risk temperature options stochastic model Monte Carlo

作者: WEN Kaiqiang YANG Yi

作者单位: Faculty of Management and Economics, Tianjin University, Tianjin, P.R. China

会议类型: 国际会议

会议名称: 2011 泉州技术管理研讨会(Quanzhou Conference on Management of Technology MOT2011)

会议地点: 福建泉州

会议语种:英文

页码: 139-143

在线出版日期: 2011-04-16（万方平台首次上网日期，不代表论文的发表时间）