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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2022, Vol. 39 ›› Issue (3): 357-378.doi: 10.3969/j.issn.1005-3085.2022.03.002

• • 上一篇    下一篇

基于带前瞻性信息的气温建模和天气衍生品定价---以郑州市为例

李  鹏1,   牛智康1,   仲伟周2,3   

  1. 1. 华北水利水电大学数学与统计学院，郑州 450046
    2. 西安交通大学经济与金融学院，西安 710061
    3. 陕西社会主义学院，西安 710061
  • 出版日期:2022-06-15 发布日期:2022-08-15
  • 基金资助:
    河南省高等学校重点科研项目计划 (19A110023).

Temperature Modeling and Weather Derivative Pricing with Forward-looking Information---A Case Study of Zhengzhou

LI Peng1,   NIU Zhikang1,   ZHONG Weizhou2,3   

  1. 1. School of Mathematics and Statistics, North China University of Water Resources and Electric Power, Zhengzhou 450046 
    2. School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061 
    3. Shaanxi College of Socialism, Xi'an 710061
  • Online:2022-06-15 Published:2022-08-15
  • Supported by:
    The Key Scientific Research Project for Universities in Henan Province (19A110023).

PDF (PC)

162

摘要：

针对郑州市建立了纳入前瞻性信息的一致双因子气温模型，并在此基础上探讨了天气衍生品的定价问题。首先，对郑州历史天气预测数据进行了统计分析，验证了建立一致双因子模型的合理性；然后，根据郑州市的历史气温数据和历史气温预测数据，建立了郑州市的一致双因子气温模型，并推导出效用无差异的随机因子的风险市场价格和近似定价公式；最后，我们应用蒙特卡罗方法计算得到的气温期权的双因子价格曲面并与近似公式结果进行了对比。以郑州市为例，探讨了基于一致双因子模型更准确的天气衍生品定价，对于有效管理天气风险，促进我国天气衍生品市场的发展同时具有理论和实践的价值。

关键词: 天气衍生品, 一致双因子模型, 效用无差异, 风险市场价格, 前瞻性信息

Abstract:

Through incorporating forward-looking information, this paper constructs a consistent two-factor temperature model for Zhengzhou, and prices weather derivatives based on the model. First, we analyze the historical weather forecast data, and verify the rationality of the consistent two-factor model. Using the historical temperature data and historical temperature forecast data of Zhengzhou, we then construct a consistent two-factor model and derive the approximate pricing formulas with the market price of risk extracted from utility indifference valuation. In the end, we apply Monte Carlo simulations to compute the price surface for temperature options. This paper presents a complete pricing procedure based on a consistent two-factor temperature model, and is of both theoretical and practical significance for weather risk management and the development of China's weather derivative markets.

Key words: weather derivative, consistent two-factor model, utility indifference, market price of risk, forward-looking information

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