{"title":"在不确定环境下为天气衍生品定价","authors":"Zulfiqar Ali, J. Hussain, Z. Bano","doi":"10.1515/nleng-2022-0291","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":37863,"journal":{"name":"Nonlinear Engineering - Modeling and Application","volume":"23 1","pages":""},"PeriodicalIF":2.4000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing weather derivatives in an uncertain environment\",\"authors\":\"Zulfiqar Ali, J. Hussain, Z. Bano\",\"doi\":\"10.1515/nleng-2022-0291\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":37863,\"journal\":{\"name\":\"Nonlinear Engineering - Modeling and Application\",\"volume\":\"23 1\",\"pages\":\"\"},\"PeriodicalIF\":2.4000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Nonlinear Engineering - Modeling and Application\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/nleng-2022-0291\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ENGINEERING, MECHANICAL\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Nonlinear Engineering - Modeling and Application","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/nleng-2022-0291","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ENGINEERING, MECHANICAL","Score":null,"Total":0}
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.
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.