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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/129826

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129826

Title:	Modeling Temperature Behaviors: Application to Weather Derivative Valuation
Authors:	楊曉文 Yang, Sharon S. 黄志偉 Huang, Jr-Wei 張傳章 Chang, Chuang-Chang
Contributors:	金融系
Keywords:	equilibrium pricing;long memory;temperature derivatives
Date:	2018-05
Issue Date:	2020-05-26 10:53:02 (UTC+8)
Abstract:	This article investigates temperature behavior to develop a temperature model. The proposed ARFIMA Seasonal GARCH model that allows for long memory effects and other important temperature properties provides better goodness of fits and forecasting accuracy using daily average temperatures in six U.S. cities. The effect of temperature behavior on pricing temperature derivatives is analyzed. We propose an equilibrium option pricing framework for HDD and CDD forward and option contracts under the ARFIMA Seasonal GARCH model. The investigation of temperature properties and the valuation framework in this study contributes to the development of a standardized temperature model for weather derivative markets.
Relation:	Journal of Futures Markets, Vol.38, No.9, pp.1152-1175
Data Type:	期刊論文
DOI 連結:	https://doi.org/10.1002/fut.21923
DOI:	10.1002/fut.21923
Appears in Collections:	[金融學系] 期刊論文

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