论文部分内容阅读
气温期权定价方法常见燃烧分析、指数建模和动态模型定价法,理论模型显示了不同定价过程,适用不同数据特征,但欠缺经验数据支持。本文以上海气温数据为样本,在比较分析相关理论的基础上,分别运用三种定价方法进行实证模拟并完成欧式气温期权定价过程。实证结果表明动态模型定价法综合考虑了时间序列模型的自回归、异方差等特征,能够更准确实现对气温变化预测与变动路径模拟,在短期气温期权合约中应用优势更为显著。
Temperature options pricing method Common combustion analysis, index modeling and dynamic model pricing method, the theoretical model shows the different pricing process, the application of different data characteristics, but the lack of empirical data support. In this paper, Shanghai temperature data as a sample, on the basis of comparative analysis of relevant theories, respectively, the use of three pricing methods for empirical simulation and the completion of the European temperature options pricing process. The empirical results show that the dynamic model pricing method comprehensively considers the characteristics of autoregressive and heteroscedasticity of the time series model, and can predict the change of temperature more accurately and simulate the change path. The application advantage is more significant in the short-term temperature option contract.