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トレンド予測に基づく天候デリバティ ブの価格付けと事業リスクヘッジ
http://hdl.handle.net/2241/00146084
http://hdl.handle.net/2241/00146084eaa417cf-23a1-46b3-9582-2b588f835ac5
名前 / ファイル | ライセンス | アクション |
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PISM_54-1 (680.5 kB)
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Item type | Journal Article(1) | |||||
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公開日 | 2017-05-15 | |||||
タイトル | ||||||
タイトル | トレンド予測に基づく天候デリバティ ブの価格付けと事業リスクヘッジ | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | journal article | |||||
著者 |
山田, 雄二
× 山田, 雄二× 飯田, 愛実× 椿, 広計 |
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著者別名 |
Yuji, Yamada
× Yuji, Yamada |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Weather derivatives are contracts written on the basis of weather indices, which in turn are variables whose values are constructed from weather data. This paper, focuses on pricing of temperature-based weather derivatives, and demonstrate their hedge effect on energy businesses. First, we categorize and review several pricing models, and develop another pricing method based on trend prediction. It is shown that the future price on the monthly average temperature can be derived by fitting the generalized additive model with its nonparametric trend and residuals. We also show that the same idea can be applied to derivative contracts whose premiums are paid in advance when the contracts are carried out. We then analyze the hedge effect of weather derivatives on energy businesses. The historical simulation shows that the weather future is highly effective for hedging electricity revenue when the revenue is proportional to the electricity sales in summer. Moreover, we demonstrate an optimal revenue structure with respect to electricity sales when put options are used. Finally, we perform a similar analysis based on gas sales data using weather derivatives. |
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書誌情報 |
統計数理 巻 54, 号 1, p. 57-78, 発行日 2006 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0912-6112 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN10043856 | |||||
権利 | ||||||
権利情報 | © 2006 統計数理研究所 | |||||
著者版フラグ | ||||||
値 | publisher | |||||
出版者 | ||||||
出版者 | 統計数理研究所 |