政大學術集成


請使用永久網址來引用或連結此文件: https://ah.nccu.edu.tw/handle/140.119/73109


題名: HDD and CDD Option Pricing with Market Price of Weather Risk for Taiwan
作者: 許永明
Shiu, Yung-Ming
貢獻者: 風管系
日期: 2008-08
上傳時間: 2015-01-22 16:12:55 (UTC+8)
摘要: 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. 
關聯: Journal of Futures Markets,28(8), 790-814
資料類型: article
DOI 連結: http://dx.doi.org/10.1002/fut.20337
顯示於類別:[風險管理與保險學系] 期刊論文

文件中的檔案:

檔案 描述 大小格式瀏覽次數
index.html0KbHTML1300檢視/開啟


在學術集成中所有的資料項目都受到原著作權保護.


社群 sharing