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Modeling Temperature and Pricing Weather Derivatives Based on Temperature

机译：基于温度的温度和定价衍生物

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摘要

This study first proposes a temperature model to calculate the temperature indices upon which temperature-based derivatives are written. The model is designed as a mean-reverting process driven by a Levy process to represent jumps and other features of temperature. Temperature indices are mainly measured as deviations from a base temperature, and, hence, the proposed model includes jumps because they may constitute an important part of this deviation for some locations. The estimated value of a temperature index and its distribution in this model apply an inversion formula to the temperature model. Second, this study develops a pricing process over calculated index values, which returns a customized price for temperature-based derivatives considering that temperature has unique effects on every economic entity. This personalized price is also used to reveal the trading behavior of a hypothesized entity in a temperature-based derivative trade with profit maximization as the objective.Thus, this study presents a new method that does not need to evaluate the risk-aversion behavior of any economic entity.
机译：本研究首先提出了一种温度模型来计算写入温度的衍生物的温度指标。该模型被设计为由征收过程驱动的平均恢复过程，以表示跳跃和温度的其他特征。温度指数主要测量为与基极温度的偏差，因此，所提出的模型包括跳跃，因为它们可以构成某些位置的这种偏差的重要部分。该模型中温度指数及其分布的估计值将反转公式应用于温度模型。其次，本研究开发了在计算出的指数值上的定价过程，这返回了考虑到温度对每个经济实体有独特影响的基于温度的衍生物的定制价格。这种个性化价格也用于揭示假设实体在基于温度的衍生贸易中的交易行为，以利润最大化为目标。本研究表明了一种新方法，不需要评估任何风险厌恶行为经济实体。

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