Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/73109


Title: HDD and CDD Option Pricing with Market Price of Weather Risk for Taiwan
Authors: 許永明
Shiu, Yung-Ming
Contributors: 風管系
Date: 2008-08
Issue Date: 2015-01-22 16:12:55 (UTC+8)
Abstract: This study extends the long-term temperature model proposed by Alaton et al. (2002) by taking into account ARCH/GARCH effects to reflect the clustering of volatility in temperature. The fixed variance model and the ARCH model are estimated using Taiwan weather data from 1974 through 2003. The results show that for HDD/CDD the call price is higher under ARCH-effects variance than under fixed variance, while the put price is lower. Although different pricing methods are employed in pricing weather options, the effects of mean and standard deviation on option prices are mathematically proved to be the same as those in pricing traditional financial derivatives using the Black-Scholes formula. 
Relation: Journal of Futures Markets,28(8), 790-814
Data Type: article
DOI 連結: http://dx.doi.org/10.1002/fut.20337
Appears in Collections:[風險管理與保險學系 ] 期刊論文

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