Research on Pricing the CDD Index of Weather Derivative and Its Feasibility Analysis

Journal of Beijing University of Posts and Telecommunications(Social Sciences Edition) ›› 2013, Vol. 15 ›› Issue (1): 87-90.

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Research on Pricing the CDD Index of Weather Derivative and Its Feasibility Analysis

(1 International Business School, Beijing Foreign Studies University, Beijing 100089, China;
2 School of Economics and Management, Beijing University of Posts and Telecommunications,
Beijing 100876, China)

Online:2013-02-28 Published:2023-03-27

Abstract

Abstract:

Mitigating and hedging the weather risk via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change This study has provided an approach to pricing cooling degree days (CDD) index and applies historical daily temperature data of Beijing from 1952 to 2008 to a call option model, in order to explore its feasibility in practical use

Key words: weather derivative, pricing, cooling degree days, call option, empirical study

CLC Number:

F83091

PENG Long, SUN Xiao-li. Research on Pricing the CDD Index of Weather Derivative and Its Feasibility Analysis[J]. Journal of Beijing University of Posts and Telecommunications(Social Sciences Edition), 2013, 15(1): 87-90.

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Research on Pricing the CDD Index of Weather Derivative and Its Feasibility Analysis

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