气候期权的定价问题

发布时间：2018-01-12 21:22

本文关键词：气候期权的定价问题　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：对于某些能源部门、商业公司等行业,气温的变化会对其造成经济上的影响,为了对冲其面临的天气风险,气候衍生产品应运而生,并发挥了重要的作用。气候衍生品市场最早于1997年出现在美国能源公司,是目前比较前沿的衍生产品。市场快速的发展壮大,之后逐渐扩展到欧洲和日本等国。虽然这个市场仍处在初级阶段,目前的交易也不是非常活跃,但随着交易者的参与和交易量的持续增长,市场前景相当可观。关于气候期权的定价问题,文中将气候期货作为原生资产,证明经典的Black-Scholes方程如何适用于本文的定价问题。首先,我们假定期望回报率和波动率都是常数,给出了最经典的Black-Scholes方法。由于波动率为常数是非常理想的假设,所以之后引入随机波动模型,这与实际的市场交易情形更为贴切,提高模型的实用性。最后,运用Romberg外推方法对方程的解进行数值计算。
[Abstract]:For some of the energy sector, industry business, changes in temperature will cause the impact on the economy of the face in order to hedge its weather risks, weather derivative products have emerged, and played an important role. The weather derivatives market first appeared in the Usa Energy Inc in 1997, is currently the leading derivatives market rapidly. To grow, then gradually spread to Europe and Japan and other countries. Although the market is still in the primary stage, the current transaction is not very active, but with the continued growth in trading volume and traders, the market prospect is very considerable.
The option pricing problem on climate, the climate of futures as the underlying assets, the pricing problem of how the classical Black-Scholes equation used in this proof. Firstly, we assume that the expected rate of return and volatility are constant, the most classic Black-Scholes method is given. The volatility is constant is very ideal assumption, so after the introduction of the stochastic volatility model, with the actual market situation better, improve the practicability of the model. Finally, using the Romberg extrapolation method on the equations for numerical calculation.

【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

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