A Fair Pricing Approach to Weather Derivatives
A Fair Pricing Approach to Weather Derivatives
复制标题
天气衍生品的公平定价方法
DOI：
10.1007/s10690-005-4252-9
复制
发表时间：
2004
影响因子：
1.7
通讯作者：
J. West
中科院分区：
文献类型：
--
作者：
E. Platen;J. West
本文提出了一个一致的方法来定价的天气衍生品。由于天气衍生品是在一个不完整的市场环境中交易的，因此不能应用标准的基于套期保值的定价方法。增长最优投资组合被解释为世界股票指数，被用作基准或numeraire，使得所有基准衍生品价格过程都是鞅。建议的公平定价不需要进行度量转换。对于独立于增长最优投资组合价值的天气衍生产品收益，经典的精算定价方法是公平定价概念的一个特例。一个离散时间模型被构造来近似历史天气特征。某些特定天气衍生品的公允价格是使用历史和高斯残差得出的。还讨论了天气风险作为可分散风险的问题。
This paper proposes a consistent approach to the pricing of weather derivatives. Since weather derivatives are traded in an incomplete market setting, standard hedging based pricing methods cannot be applied. The growth optimal portfolio, which is interpreted as a world stock index, is used as a benchmark or numeraire such that all benchmarked derivative price processes are martingales. No measure transformation is needed for the proposed fair pricing. For weather derivative payoffs that are independent of the value of the growth optimal portfolio, it is shown that the classical actuarial pricing methodology is a particular case of the fair pricing concept. A discrete time model is constructed to approximate historical weather characteristics. The fair prices of some particular weather derivatives are derived using historical and Gaussian residuals. The question of weather risk as diversifiable risk is also discussed.