基于扩展O-U模型的天气期权定价及数据信息应用分析

Analysis of Weather Option Pricing and Data Information Application Based on Extended O-U Model

天气期权不断发展,政府多次提出推广农产品“期权+期货”,天气期权在农业的应用成为研究重点。本文利用拓展的O-U模型,通过傅里叶变换、自回归方程、AR-GARCH等,以1951-2017年数据进行参数估计,预测大连市2018年的日均气温,吻合度较高,可应用于模拟期权定价。此外,分析其在玉米期权(GDDs、MGDDs)中应用的可行性和误差,并提出在农业中应用期权的建议。

With the continuous development of weather options, the government has repeatedly put forward the promotion of agricultura‘l options + futures’,and the application of weather options in agriculture has become a research focus. In this paper,the extended O-U model was used to predict the average daily temperature of dalian in 2018 based on the data from 1951 to 2017.Fourier transform,autoregressive equation and AR-GARCH model were used to estimate the parameters.The results are in good agreement and can be used to simulate option pricing.In addition, the feasibility and error of its application in corn options (GDDs, MGDDs) were analyzed, and Suggestions on the application of options in agriculture were put forward.