Hurricane Derivatives: Valuation in a Warming Environment

全球暖化造成大部分熱帶海洋的表面溫度升高，導致極端強烈颶風和颱風的數量增加。自從颶風卡崔娜（Hurricane Katrina）之後，新的颶風衍生性金融商品應運而生，以利保險公司和相關團體降低氣候異常造成的風險暴露。我們從Gerber（1984, 1988）的雙重二項式架構加入第三個二項式過程而延伸發展出三重二項式的創新訂價模型，以納入隨機來臨的颶風。接著，我們模擬全球暖化伴隨強烈颶風數量增加的情況，將如何突顯這類衍生性商品在避險功能上的價值。

關鍵字

全球暖化；颶風期貨和期貨選擇權；毀滅性力量；隨機抵達密度；選擇權訂價；三重二項樹

並列摘要

Global warming has caused the surface of most tropical oceans to warm up, inducing an increasing number of deadly hurricanes and typhoons. Since Hurricane Katrina, new hurricane derivative contracts have been introduced for insurers and related parties to mitigate their climate risk exposures. We develop a novel triply-binomial valuation model as an extension of Gerber's (1984, 1988) doubly-binomial framework with a third binomial process to subsume stochastic hurricane arrivals. We subsequently simulate how global warming with an increasing number of deadly tropical cyclones has made these derivative contracts more valuable in performing their hedging function.

並列關鍵字

Global warming ； hurricane futures and futures options ； destructive power ； stochastic arrival intensity ； option pricing ； triply-binomial tree

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