TY - JOUR
T1 - Pricing temperature-based weather contracts
T2 - An application to China
AU - Goncu, Ahmet
PY - 2011/9
Y1 - 2011/9
N2 - This article is the first study to price temperature-based weather derivatives based on the daily average temperatures of Chinese cities, namely Beijing, Shanghai and Shenzhen. A dynamic model with a piecewise constant volatility function, proposed by Alaton et al. (2002), is used for pricing Heating Degree Days (HDD) and Cooling Degree Days (CDD) options. Price estimates for these options are obtained using Monte Carlo simulation and analytical approximation methods.
AB - This article is the first study to price temperature-based weather derivatives based on the daily average temperatures of Chinese cities, namely Beijing, Shanghai and Shenzhen. A dynamic model with a piecewise constant volatility function, proposed by Alaton et al. (2002), is used for pricing Heating Degree Days (HDD) and Cooling Degree Days (CDD) options. Price estimates for these options are obtained using Monte Carlo simulation and analytical approximation methods.
UR - http://www.scopus.com/inward/record.url?scp=79961081435&partnerID=8YFLogxK
U2 - 10.1080/13504851.2010.537619
DO - 10.1080/13504851.2010.537619
M3 - Article
AN - SCOPUS:79961081435
SN - 1350-4851
VL - 18
SP - 1349
EP - 1354
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 14
ER -