Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/130741
題名: | The Valuation of Temperature Derivatives: The Case for Taiwan 評價溫度衍生商品-以臺灣為例 |
作者: | 楊曉文 Yang, Sharon S. |
貢獻者: | 金融系 | 關鍵詞: | 溫度衍生性商品 ; 均衡定價模型 ; 日高溫度指數 ; 日低溫度指數 Temperature derivatives ; equilibrium pricing model ; HDD ; CDD |
日期: | Jun-2016 | 上傳時間: | 21-Jul-2020 | 摘要: | 本文著重於溫度風險及探討何種分配最能捕捉臺灣溫度之動態行為。我們採用Campbell與Diebold (2005)模型捕捉臺灣溫度之特性及探討在不同機率分配之影響。我們發現標準Gumbel分配在樣本內外皆提供良好的配適與預測能力。此外,我們延伸Cao與Wei (2004)之評價方法並求得HDD與CDD之價格。最後,我們發現在不同機率分配假設下其對溫度衍生性商品影響十分顯著。 This research focuses on the temperature risk and attempts to investigate which distribution is most appropriate for capturing the Taiwan`s temperature dynamics. We adopt the Campbell and Diebold (2005) model to describe the temperature characteristics and examine a variety of distributions. We find that the standard Gumbel distribution provides the best fit for both in-sample and out-of-sample performance. Further, we extend Cao and Wei`s (2004) approach to obtain the valuation framework for HDD and CDD contracts. Finally, we observe that the effects of different distributions on the value of the temperature derivatives are very significant. |
關聯: | 財務金融學刊, 24卷2期, 25 - 53 | 資料類型: | article | DOI: | https://doi.org/10.6545/JFS.2016.24(2).2 |
Appears in Collections: | 期刊論文 |
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.