论文标题
定价温度衍生品在随着时间变化的征税模型下
Pricing Temperature Derivatives under a Time-Changed Levy Model
论文作者
论文摘要
本文的目的是使用温度作为基础过程进行对天气合同的定价，而后来又遵循均匀的旋转动力学，该动态是由随着时间变化的布朗尼运动耦合到伽玛征费下属和时间依赖性的确定性波动率的驱动的。这种类型的模型捕获了温度动态的复杂性，从而提供了对其合作天气合同的更准确估值。通过其特征函数的傅立叶扩展以及在Gerber和Shiu（1994）提出的Esscher变换之后，获得了近似价格。
The objective of the paper is to price weather contracts using temperature as the underlying process when the later follows a mean-reverting dynamics driven by a time-changed Brownian motion coupled to a Gamma Levy subordinator and time-dependent deterministic volatility. This type of model captures the complexity of the temperature dynamic providing a more accurate valuation of their associate weather contracts. An approximated price is obtained by a Fourier expansion of its characteristic function combined with a selection of the equivalent martingale measure following the Esscher transform proposed in Gerber and Shiu (1994).
