气温期权定价方法比较分析与实证检验  

Pricing Methods and Empirical Analysis of Temperature Index Options

作　　者：李永[1] 吴丹[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《管理评论》2013年第5期19-25,共7页Management Review

基　　金：国家社会科学基金项目(09CJY091);2012年中央高校基本科研业务费专项资金项目成果

摘　　要：气温期权定价方法常见燃烧分析、指数建模和动态模型定价法,理论模型显示了不同定价过程,适用不同数据特征,但欠缺经验数据支持。本文以上海气温数据为样本,在比较分析相关理论的基础上,分别运用三种定价方法进行实证模拟并完成欧式气温期权定价过程。实证结果表明动态模型定价法综合考虑了时间序列模型的自回归、异方差等特征,能够更准确实现对气温变化预测与变动路径模拟,在短期气温期权合约中应用优势更为显著。Burn analysis, index modeling and dynamic modeling are three commonly used pricing methods for temperature index options. Their different pricing processes and application areas have been studied but without enough empirical analysis. This paper, based on the comparative analysis of these pricing methods, aims to complete European temperature index options pricing by different methods with the data taken from Shanghai. The results show that dynamic modeling is pricing short-period temperature index options contracts better using an autoregressive and heteroskedastic time series model for daily temperature variations and thus provides a relatively more precise model for the fine structure of temperature evolution.

关 键 词：燃烧分析 指数建模 动态模型法 蒙特卡罗模拟 AR-GARCH 

分 类 号：F830.9[经济管理—金融学] F224