考虑风险市场价格的天气衍生品定价研究  

A study on the pricing of weather derivatives considering risky market prices

作　　者：贝泓涵 朱良富 王文洋 孙钰童 BEI Honghan;ZHU Liangfu;WANG Wenyang;SUN Yutong(School of Maritime Economics and Management,Dalian Maritime University,Dalian 116026,China;School of Management,Shanghai University,Shanghai 200444,China;Business School,Liaoning University,Shenyang 110136,China)

机构地区：[1]大连海事大学航运经济与管理学院,大连116026 [2]上海大学管理学院,上海200444 [3]辽宁大学商学院,沈阳110136

出　　处：《系统工程理论与实践》2022年第12期3265-3278,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(72173013);辽宁省自然科学基金(2021-BS-076);辽宁省教育厅2021年度科学研究经费项目(重点项目)(LJKZ0066)。

摘　　要：天气衍生品作为一种新兴的金融工具,其在农业、旅游业等行业有着重要的应用前景,但一直存在着市场风险被忽略、定价不精准等问题.本文在传统O-U模型的基础上,将时变均值回复速率、时变气温波动率和风险市场价格相结合,构建了考虑风险市场价格的气温预测模型.本文将改进后的模型与水稻、玉米等对生活有重要影响的农作物相结合,利用近十年的气温数据对农作物的天气衍生品进行定价研究,并将定价结果与传统的时变O-U模型和ARMA时间序列模型的定价结果进行对比.结果表明,引入风险市场价格能够对定价起到修正作用,考虑风险市场价格的O-U模型在多数场景下定价更为精确,这可以为农产品天气衍生品的定价以及形成风险对冲机制提供理论指导和实践参考.As an emerging financial tool,weather derivatives have essential application prospects in agriculture,tourism,and other industries.However,there have been problems such as neglect of market risks and inaccurate pricing.Based on the traditional O-U model,the present paper combines the rate of timevarying mean reversion,the time-varying temperature volatility,and the market price of risk to construct a temperature prediction model.We employ the temperature data of the past ten years to conduct pricing research on the weather derivatives of crops.The offered model is also combined with rice,corn,and other crops with a critical impact on life.A comparison was conducted about the pricing results between the proposed model,the traditional time-varying O-U,and ARMA time series models.The numerical results show that the market price of risk can play a corrective role in pricing.Considering the market price of risk performs better in most scenarios for our O-U model.The conclusions provide theoretical guidance and practical reference for pricing agricultural weather derivatives and forming risk hedging mechanisms.

关 键 词：天气衍生品 O-U模型 风险市场价格 ARMA模型 

分 类 号：F830.9[经济管理—金融学]