区域转换下郑州天气衍生品定价研究  

Pricing of Weather Derivatives in Zhengzhou with Regime-switching Models

作　　者：王莉梅 WANG Limei(School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046, China)

机构地区：[1]华北水利水电大学数学与统计学院,河南郑州450046

出　　处：《河南教育学院学报（自然科学版）》2022年第2期33-40,共8页Journal of Henan Institute of Education(Natural Science Edition)

摘　　要：针对不同地区气温数据进行具体统计分析,以构建符合该地区气温特征的随机动力学模型,从而为天气衍生品进行更准确的定价,为有效地管理天气风险提供依据。对比了3种区域转换模型和单区域均值回复模型,以准确描述郑州市气温数据。实证分析说明,具有一个均值回复和一个布朗运动的区域转换模型预测的日平均气温更接近真实数据。The specific statistical analysis of temperature data in different regions is carried out to build a stochastic dynamic model in line with the temperature characteristics of the region,so as to provide a basis for more accurate pricing of weather derivatives and effective management of weather risk.Compare the performances of three two-state Markov regime-switching models and one single-regime mean-reverting model to determine an accurate model that can describe the temperature data in Zhengzhou.Empirical results indicate that the daily average temperature predicted by the regime-switching model with a mean-reverting process and a Brownian motion models is closer to the real daily average temperature data.

关 键 词：区域转换模型 天气衍生品 EM算法 蒙特卡洛模拟 

分 类 号：O29[理学—应用数学] F224.9[理学—数学]