Pricing temperature-based weather contracts: An application to China

Ahmet Goncu

doi:10.1080/13504851.2010.537619

Pricing temperature-based weather contracts: An application to China

Ahmet Goncu^*

^*Bu çalışma için yazışmadan sorumlu yazar

Shandong University

Araştırma sonucu: Dergiye katkı › Makale › bilirkişi

4 Atıf (Scopus)

Özet

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.

Orijinal dil	İngilizce
Sayfa (başlangıç-bitiş)	1349-1354
Sayfa sayısı	6
Dergi	Applied Economics Letters
Hacim	18
Basın numarası	14
DOI'lar	https://doi.org/10.1080/13504851.2010.537619
Yayın durumu	Yayınlandı - Eyl 2011
Harici olarak yayınlandı	Evet

BM SKH

Bu sonuç, aşağıdaki Sürdürülebilir Kalkınma Hedefine/Hedeflerine katkıda bulunur

SKH 8 İnsana Yakışır İş ve Ekonomik Büyüme

Belgeye Erişim

10.1080/13504851.2010.537619

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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title = "Pricing temperature-based weather contracts: An application to China",

abstract = "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.",

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doi = "10.1080/13504851.2010.537619",

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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 - https://www.scopus.com/pages/publications/79961081435

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DO - 10.1080/13504851.2010.537619

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JF - Applied Economics Letters

IS - 14

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Pricing temperature-based weather contracts: An application to China

Özet

BM SKH

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap