On the pricing and hedging of precipitation derivatives  

作　　者：Markus Hess 

机构地区：[1]Department of Mechanical and Process Engineering.University of Kaiserslautern-Landau.Gottlicb-Daimler-Straβe,67663 Kaiserslautern,Germany

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第4期499-528,共30页概率、不确定性与定量风险(英文)

摘　　要：In this paper,we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type.In this setup,we derive a representation for the related precipitation swap price process and infer its risk-neutral time dynamics.We further deduce a pricing formula for European options written on the prccipitation swap and obtain the minimal variance hedging portfolio in the underlying weather market.In the second part of the paper,we provide a precipitation swap price representation under future information modeled by an initially enlarged filtration.We finally derive a formula for the associated information premium and investigate minimal variance hedging of prccipitation dcrivatives undcr futurc information.

关 键 词：Precipitation model Precipitation swap price Minimal variance hedging.Option pricing Information premium Future information Stochastic differential equation Enlarged filtration Stochastic maximum principle Malliavin calculus Fourier transform 

分 类 号：F42[经济管理—产业经济]