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dc.contributor.authorBenth, Freden
dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorLópez Cabrera, Brendaen
dc.date.accessioned2009-11-05-
dc.date.accessioned2010-08-26T11:57:14Z-
dc.date.available2010-08-26T11:57:14Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/39317-
dc.description.abstractWeather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used to price and hedge weather futures/options in the market. The majority of papers so far have priced non-tradable assets assuming zero MPR, but this assumption underestimates WD prices. We study the MPR structure as a time dependent object with concentration on emerging markets in Asia. We find that Asian Temperatures (Tokyo, Osaka, Beijing, Teipei) are normal in the sense that the driving stochastics are close to a Wiener Process. The regression residuals of the temperature show a clear seasonal variation and the volatility term structure of CAT temperature futures presents a modified Samuelson effect. In order to achieve normality in standardized residuals, the seasonal variation is calibrated with a combination of a fourier truncated series with a GARCH model and with a local linear regression. By calibrating model prices, we implied the MPR from Cumulative total of 24-hour average temperature futures (C24AT) for Japanese Cities, or by knowing the formal dependence of MPR on seasonal variation, we price derivatives for Kaohsiung, where weather derivative market does not exist. The findings support theoretical results of reverse relation between MPR and seasonal variation of temperature process.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,046en
dc.subject.jelG19en
dc.subject.jelG29en
dc.subject.jelG22en
dc.subject.jelN23en
dc.subject.jelN53en
dc.subject.jelQ59en
dc.subject.ddc330en
dc.subject.keywordWeather derivativesen
dc.subject.keywordcontinuous autoregressive modelen
dc.subject.keywordCATen
dc.subject.keywordCDDen
dc.subject.keywordHDDen
dc.subject.keywordrisk premiumen
dc.subject.stwWetteren
dc.subject.stwFinanzderivaten
dc.subject.stwRisikoprämieen
dc.subject.stwAutokorrelationen
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.subject.stwAsienen
dc.titlePricing of Asian temperature risk-
dc.type|aWorking Paperen
dc.identifier.ppn612286762en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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