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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


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    題名: Modeling Temperature Behaviors: Application to Weather Derivative Valuation
    作者: 楊曉文
    Yang, Sharon S.
    黄志偉
    Huang, Jr-Wei
    張傳章
    Chang, Chuang-Chang
    貢獻者: 金融系
    關鍵詞: equilibrium pricing;long memory;temperature derivatives
    日期: 2018-05
    上傳時間: 2020-05-26 10:53:02 (UTC+8)
    摘要: 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.
    關聯: Journal of Futures Markets, Vol.38, No.9, pp.1152-1175
    資料類型: 期刊論文
    DOI 連結: https://doi.org/10.1002/fut.21923
    DOI: 10.1002/fut.21923
    顯示於類別:[金融學系] 期刊論文

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