基于多元气温概率模型的气温期权定价方法研究

针对日常天气风险管理中的气温期权定价问题,Cao-Wei模型不能充分反映气候变暖趋势和各地域之间的相关关系.为解决这一问题,提出了反映气候变暖趋势以及各地域间关联的新的多元气温概率模型,并基于该模型,利用燃烧分析法及蒙特卡洛模拟法对制冷日/制热日(CDD/HDD)指数期权进行了精确的定价.结果表明,采用蒙特卡洛模拟法对CDD/HDD指数期权定价更为合理,分析得出的结论对天气衍生品市场提供了有效的理论依据,对期权定价有较高实用价值,为今后利用CDD/HDD指数期权对气象保险进行合理的风险对冲,起到很好的风险管理效果.

Pricing Method for Weather Options Based on Multivariate Temperature Model

Regarding the pricing problem of temperature option in everyday weather risks management,the Cao-Wei model is insufficient to reflect the global warming trend and correlation among geographical regions.In order to resolve this problem,a new multivariate temperature model was proposed.Based on the model,the cooling design day/heating design day (CDD/HDD) index options were priced accurately by using the burn-analysis method and Monte-Carlo simulations.The simulation results indicate that using Monte-Carlo simulations to price CDD/HDD index options is not only effective but also reasonable.In addition,the result provides for the weather derivatives market an effective theoretical evidence and also has practical value for option pricing.The necessary theoretical basis for the future development of domestic insurance and weather derivatives was supplied,and the future use of the CDD index option can be more reasonable to hedge weather insurance and will play an effective role in risk management.