基于O-U模型的天气衍生品定价研究——以气温期权为例  

Study on Weather Derivatives Pricing Based on O-U Model:A Case of Weather Option

作　　者：李永[1] 夏敏[1] 梁力铭[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《预测》2012年第2期18-22,37,共6页Forecasting

基　　金：国家社会科学基金资助项目(09CJY091);教育部人文社会科学基金资助项目(07JC790064);2012年中央高校基本科研业务费专项资金资助项目

摘　　要：天气衍生品(Weather Derivatives)作为一项国外金融创新产品,为天气风险管理和转移提供了新途径,其中产品定价是该领域研究核心问题之一。本文以O-U模型为基础,采用时间序列建模方法,分析了上海1951～2010年气温的动态变化,对模型参数进行估计,并检验了模型预测精确度。研究结果表明:O-U模型与时间序列建模相结合方法能够提高气温变动预测精确度,进而借助蒙特卡罗模拟方法,可以完成对天气期权产品的合理定价。As one of foreign financial market innovative products, weather derivatives provide new ways to manage and transfer weather risks, the study on pricing of weather derivatives is one of the key issues in research. Based on Ornstein-Uhlenbeck model, this paper applies time series approach to analyze the dynamic variance of weather process, and estimates the parameters by adopting Shanghai＇ temperature data in 1951 - 2009, then tests its forecasting result. The study shows that the O-U model can forecast temperature change better combing with time series modeling, and accompanying with Monte Carlo approach, it can be for determining weather derivatives pricing.

关 键 词：天气衍生品 Ornstein-Uhlenbeck(O-U)模型 时间序列模型 蒙特卡罗模拟 

分 类 号：F830[经济管理—金融学]