台灣氣候選擇權定價之研究

A Study of Pricing Weather Options in Taiwan

彭茹敏(Ju-Min Peng)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.10359

摘要

氣候選擇權在1997年問世，提供能源或電力公司規避氣候風險之工具。經相關文獻分析探討，在HDD/CDD選擇權評價模型的設定上，要選擇溫度作為模擬標的物，且模擬溫度變化行徑中，需符合均數復歸的隨機過程，並考慮到長期趨勢和短期波動性。
本研究採用1986-2005年的每日平均氣溫資料，以CDD指數選擇權為研究對象，評價模型的設定以溫度為模擬標的物，且溫度之隨機路徑為均數復歸模型，此外，同時考量長、短期的波動性。接著透過蒙地卡羅模擬法，模擬10000次到期日之期望報酬，最後以無風險利率折現回現值，求得氣候選擇權公平價格。本研究以18℃、20℃及23℃等三個溫度標準進行分析研究，模擬各標的城市之選擇權價格，提供不同的情況以供參考。在選定的觀測站中，台北站與高雄站，以20年為最適的資料期間；台中站以10年為最適的資料期間。另外，就敏感度分析，在選定的三個溫度標準中，以23℃的溫度標準最合適。

關鍵字

HDD/CDD指數 ； 氣候衍生性金融商品 ； 氣候選擇權

並列摘要

Weather options were created in 1997 and given to power companies the tools to avoid weather risk. By studying key papers, we found that setting on HDD/CDD indices options pricing model is needed to choose temperature as underlying asset, have stochastic processes of mean-reverting, and consider long-term trend and short-term volatility of temperature.
This study try to calculate the fair option prices. CDD index is the object of study.and we choose twenty years historical data of average temperature from 1986 to 2005. The set of evaluation model chooses temperature as underlying asset, and stochastic processes of mean reversion. Besides, long-tern and short-term volatility need to be considered at the same time. By Monte Carlo Simulations, to simulate expected payoff of underlying asset on expiration date 10000 times, and then discount them through risk-free interest to gain fair price of weather option. Based on the three temperature standards-18℃, 20℃, and 23℃, this study simulates each the option price of each target city to provide different information for reference. In each target city, we found that Taipei and Kaohsiung choose twenty years historical data as suitable period. Inversely, Taichung chooses ten years historical data as suitable period. Additionally, by sensitivity analysis we find that 23℃ is the most optimal standard based on the three temperature standards.

並列關鍵字

HDD/CDD indices, ； weather derivatives, ； weather options

參考文獻

Black, F. and M. Sholes, 1973, ”The Price of Option and Corporate Liabilities,”Journal of Political Economy ,81, pp.637－659.

Boyle, P., 1977, “Options: A Monte Carlo Approach”, Journal of Financial Economics,4, pp323-338.

Considine, G., 1998, “Introduction to Weather Derivatives”, Weather Derivatives Group. Aquila Energy.

Dischel , B., 2001, “Shaping history for weather risk management”, Energy and power risk management.

Hull, J. C., 2000, “Options, futures, and other derivatives, 4th”, Prentice Hall.