O-U模型在天气衍生品定价中的合理性测度

发布时间：2018-05-16 14:05

本文选题：天气衍生品 + Ornstein-Uhlenbeck(O-U)模型　；参考：《统计与决策》2011年21期

【摘要】：天气衍生品作为国外金融市场一项创新产品,为天气风险的管理和转移提供了全新的途径,定价模型是天气衍生品研究的重点。文章利用Ornstein-Uhlenbeck均值回复过程模型模拟气温的动态变化,基于上海地区1951～2008年的气温数据对模型的参数进行估计,然后通过测算模型预测值与实际观察值的气温标的指数值定量检验模型的预测效果,实证结果表明:预测值的相对误差绝对值均小于5%,模型能够较准确的预测气温的变化,使用Ornstein-Uhlenbeck模型并借助蒙特卡罗模拟法可以对天气衍生品进行合理定价。
[Abstract]:As an innovative product in foreign financial markets, synoptic derivatives provide a new way for the management and transfer of weather risk. The pricing model is the focus of the study of weather derivatives. The paper uses the Ornstein-Uhlenbeck mean recovery process model to simulate the dynamic change of temperature, based on the temperature data of 1951~2008 years in Shanghai. The parameters of the model are estimated, and then the prediction results of the model are quantified by measuring the predicted value of the model and the actual observation value. The empirical results show that the absolute value of the relative error of the predicted value is less than 5%. The model can predict the change of temperature more accurately, and use the Ornstein-Uhlenbeck model and the Monte Carlo model. The proposed method can be reasonably priced for the weather derivatives.

【作者单位】：同济大学经济与管理学院;
【基金】：国家社会科学基金资助项目(09CJY091) 教育部人文社会科学项目(07JC790064)
【分类号】：F832.5;F224;P4

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