Valuation of Weather Derivatives

天氣衍生性金融商品之評價

10.6545/JFS.2006.14(1).1

洪茂蔚(Mao-Wei Hung)；劉裕宏(Yu-Hong Liu)

天氣衍生性商品 ； 不可交易資產 ； 非完全市場 ； weather derivatives ； non-traded asset ； incomplete market

財務金融學刊

14卷1期（2006 / 04 / 30）

1 - 34

英文

一項普遍存在於天氣衍生性金為生商品的特性是其交易市場存在不完全之特性。在本篇文章中我們將提出一個能於市場不完全狀況下，評價天氣衍生性金融商品之評價公式。這評價公式有兩項優點是其它評價天氣衍生性商品之相關文章鮮有。第一、我們使用了非完全市場下之評價方法來克服因為天氣衍生性金融商品之基底資產存在不可交易之特性，因而造成無套利評價方法無法使用之狀況。第二、在我們所提出的公式中，我們引入一套極具效率的解析方法來評價具亞式報酬特性之天氣衍生性金融商品之報酬，使得所得之評價公式易於使用且極具效率。

One of most distinguishing features of weather derivatives is that the market is incomplete This article presents a new method for pricing weather derivatives in an incomplete market. The proposed method has two advantages exhibited by only a few of models in other weather-related articles. First, the method for pricing assets in an incomplete market is employed to overcome the non-tradable feature of the underlying assets of the weather derivatives for which the no-arbitrage method breaks down. Second, an efficent analytical method is incorporated into the proposed model to make the Asian-type payout of weather derivatives much easier to evaluate than by other numerical methods. Pricing formulae and numerical results for weather derivatives other than weather options, including weather caps, weather floors, weather swaps and weather collars, are also presented.

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