在不确定环境下为天气衍生品定价

IF 2.4 Q2 ENGINEERING, MECHANICAL Nonlinear Engineering - Modeling and Application Pub Date : 2023-01-01 DOI:10.1515/nleng-2022-0291
Zulfiqar Ali, J. Hussain, Z. Bano
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引用次数: 0

摘要

本文通过不确定微分方程,研究了基于温度动力学的天气导数定价公式的求解问题。与天气相关的衍生品被更频繁地用于多种资产类别的另类风险投资组合。我们首先提出了一个不确定的过程,利用过去的数据来描述温度是如何变化的。尽管如此,这些资产的定价是困难的,因为它需要一个不完整的市场框架。波动性由截断的傅立叶级数描述,我们提供了一种使用蒙特卡罗模拟计算该常数的新技术。使用这种方法,假定风险具有固定的市场价格。
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Pricing weather derivatives in an uncertain environment
Abstract This article deals with the problem of finding a pricing formula for weather derivatives based on temperature dynamics through an uncertain differential equation. Weather-related derivatives are being employed more frequently in alternative risk portfolios with multiple asset classes. We first propose an uncertain process that uses data from the past to describe how the temperature has changed. Despite this, pricing these assets is difficult since it necessitates an incomplete market framework. The volatility is described by a truncated Fourier series, and we provide a novel technique for calculating this constant using Monte Carlo simulations. With this approach, the risk is assumed to have a fixed market price.
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来源期刊
CiteScore
6.20
自引率
3.60%
发文量
49
审稿时长
44 weeks
期刊介绍: The Journal of Nonlinear Engineering aims to be a platform for sharing original research results in theoretical, experimental, practical, and applied nonlinear phenomena within engineering. It serves as a forum to exchange ideas and applications of nonlinear problems across various engineering disciplines. Articles are considered for publication if they explore nonlinearities in engineering systems, offering realistic mathematical modeling, utilizing nonlinearity for new designs, stabilizing systems, understanding system behavior through nonlinearity, optimizing systems based on nonlinear interactions, and developing algorithms to harness and leverage nonlinear elements.
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