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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2012.4
- 수록면
- 365 - 374 (10page)
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초록· 키워드
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Weather derivatives designed to manage casual changes of weather, as opposed to catastrophic risks of weather, are relatively a new class of finacial instruments. There are still many theoretical and practical challenges to the effective use of these instruments. The objective of this paper is to develop a pricing approach for valuing weather derivatives and presents a case study that is practical enough to be used by the risk managers of electrical utility firms. Utilizing daily average temperature data of Guangzhou, China from 1st January 1978 to 31st December 2010, this paper adopted a univariate time series model to describe weather behavior dynamics and calculates equilibrium prices for weather futures and options for an electrical utility firm in the region. The results imply that the risk premium is an important part of derivatives prices and the market price of risk affects option values much more than forward prices. It also demonstrates that weather innovation as well as weather risk management significantly affect the utility`s financial outcomes.
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참고문헌 (16)
참고문헌 신청
1. [학술지(정기간행물)] - Alaton, P. / 2002 / On modelling and pricing weather derivatives / Applied Mathematical Finance 9 : 1 ~ 20
2. [학술지(정기간행물)] - Benth, F. E. / 2005 / The volatility of temperature and pricing of weather derivatives / Pure Mathematics 12 : 1 ~ 17
3. [학술지(정기간행물)] - Calum G. T. / 2005 / The pricing of degree-day weather options / Agricultural Finance Review 65 : 59 ~ 85
4. [보고서] - Campbell, S. D. / 2002 / Weather forecasting for weather derivatives
5. [학술지(정기간행물)] - Campbell, S. D. / 2005 / Weather forecasting for weather derivatives / Journal of Amer-ican Statistical Association 100 : 6 ~ 16
2. [학술지(정기간행물)] - Benth, F. E. / 2005 / The volatility of temperature and pricing of weather derivatives / Pure Mathematics 12 : 1 ~ 17
3. [학술지(정기간행물)] - Calum G. T. / 2005 / The pricing of degree-day weather options / Agricultural Finance Review 65 : 59 ~ 85
4. [보고서] - Campbell, S. D. / 2002 / Weather forecasting for weather derivatives
5. [학술지(정기간행물)] - Campbell, S. D. / 2005 / Weather forecasting for weather derivatives / Journal of Amer-ican Statistical Association 100 : 6 ~ 16
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UCI(KEPA) : I410-ECN-0101-2018-041-001382047