摘要
建立气温期权交易对于对冲天气风险,增加市场金融投资品种具有重要意义。本文主要参照均值回复模型,考虑气温的季节变化和长期趋势,建立反映气温变化的随机模型,应用1980至1999年北京日平均气温对模型参数进行估计。实证仿真以及模型验证结果表明,模型的相对误差较小,建立的气温随机模型能够对未来气温变化进行较好的模拟。蒙特卡罗方法能够对天气衍生产品进行合理定价。
Construction of temperature options has great importance to hedge weather risk and provide new financial products. A temperature stochastic process has been suggested with utilizing Vasicek mean reversion model, considering about seasonal effect and time trend. After empirical simulation and model verification, the model forecasts the temperature correctly. In the end, the Monte Carlo method is used in pricing weather option.
出处
《数理统计与管理》
CSSCI
北大核心
2008年第6期959-967,共9页
Journal of Applied Statistics and Management
关键词
天气风险管理
天气期权
气温随机模型
蒙特卡罗仿真
weather risk management, weather options, temperature stochastic models, monte carlo simulation
