基于季节性马尔科夫模型的郑州市降雨指数衍生品定价被引量：2

Valuing Rainfall Index Derivatives of Zhengzhou Based on Seasonal Markov Model

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摘要未来特定时间区间内降雨指数的微小差别,会对降雨指数衍生品的理论价格产生很大的影响。根据郑州市的降雨过程具有明显的季节性特征的特点,提出了季节性马尔科夫模型,并用此模型对其降雨频率进行建模。然后,用Gamma分布模拟郑州市不同季度的日降雨量的分布。最后,对郑州市未来一年的日降雨量进行随机模拟,并运用蒙特卡洛方法,模拟计算了基于郑州市第二季度降雨累积指数的期货合约的到期收益值。计算结果表明,本文提出的季节性马尔科夫模型可以更好地模拟郑州市降雨过程的统计特征。 During the process of pricing rainfall index derivatives,the minute difference existed in the predicted value of rainfall index in the future specific temporal interval,will significantly influence the theory price of rainfall index derivatives. In the article,we proposed the seasonal Markov model for the obvious seasonal characteristics of rainfall process in Zhengzhou,the rainfall frequency was modeling with this model. Then,the distribution of the daily rainfall in the different season in Zhengzhou was simulated with Gamma.Finally,the daily rainfall of the future year in Zhengzhou was randomly simulated,the yield-to-maturity value of the futures contracts based on the accumulated rainfall index of the second quarter in Zhengzhou was simulated and calculated. The calculation results show that the seasonal Markov model can preferably simulate the statistical characteristics of the rainfall process of Zhengzhou City.

作者王志良鲁亮涛刘萍萍

机构地区华北水利水电大学鹤壁市盘石头水库建设管理局

出处《华北水利水电大学学报（自然科学版）》 2016年第2期33-36,共4页 Journal of North China University of Water Resources and Electric Power：Natural Science Edition

基金河南省科技厅基础与前沿研究(142300410175)

关键词天气衍生品季节性马尔科夫模型累积降雨指数蒙特卡洛模拟 weather derivatives seasonal Markov model rainfall index Monte-Carlo simulation

分类号 TV125 [水利工程—水文学及水资源] O29 [理学—应用数学]

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参考文献9

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