The Valuation of Temperature Derivatives: The Case for Taiwan

評價溫度衍生商品－以臺灣為例

張傳章(Chuang-Chang Chang) ； 楊曉文(Sharon S. Yang) ； 黃子毓(Tzu-Yu Huang) ； 黃志偉(Jr-Wei Huang)

《財務金融學刊》 24卷2期 (2016/06) Pp. 25-53

https://doi.org/10.6545/JFS.2016.24(2).2

摘要

本文著重於溫度風險及探討何種分配最能捕捉臺灣溫度之動態行為。我們採用Campbell與Diebold (2005)模型捕捉臺灣溫度之特性及探討在不同機率分配之影響。我們發現標準Gumbel分配在樣本內外皆提供良好的配適與預測能力。此外，我們延伸Cao與Wei (2004)之評價方法並求得HDD與CDD之價格。最後，我們發現在不同機率分配假設下其對溫度衍生性商品影響十分顯著。

關鍵字

溫度衍生性商品 ； 均衡定價模型 ； 日高溫度指數 ； 日低溫度指數

並列摘要

This research focuses on the temperature risk and attempts to investigate which distribution is most appropriate for capturing the Taiwan's temperature dynamics. We adopt the Campbell and Diebold (2005) model to describe the temperature characteristics and examine a variety of distributions. We find that the standard Gumbel distribution provides the best fit for both in-sample and out-of-sample performance. Further, we extend Cao and Wei's (2004) approach to obtain the valuation framework for HDD and CDD contracts. Finally, we observe that the effects of different distributions on the value of the temperature derivatives are very significant.

並列關鍵字

Temperature derivatives ； equilibrium pricing model ； HDD ； CDD

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