A consistent two-factor model for pricing temperature derivatives
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- 作者：Andreas Grolla ; groll@math.lmu.de" class="auth_mail" title="E-mail the corresponding author ; ; Brenda Ló ; pez-Cabrerab ; lopezcab@wiwi.hu-berlin.de" class="auth_mail" title="E-mail the corresponding author ; ; Thilo Meyer-Brandisa ; meyerbra@math.lmu.de" class="auth_mail" title="E-mail the corresponding author ;
- 关键词：C490 ; C130 ; G19 ; G29 ; G22 ; Q59
- 刊名：Energy Economics
- 出版年：2016
- 出版时间：March 2016
- 年：2016
- 卷：55
- 期：Complete
- 页码：112-126
- 全文大小：4402 K
文摘
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We provide a consistent two—factor model for pricing temperature derivatives that incorporates the forward looking information available in the market.
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The model specifies the dynamics of the complete meteorological forecast curve reasonably well.
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We analyze the model's performance in an application using real temperature forecast data and temperature futures derivative prices.
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The model confirms that parts of the irregularity of the market price of risk is due to information misspecification.
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Similar to temperature derivatives, this approach can be used for pricing other non—tradable assets.