English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51771/86989 (60%)
Visitors : 8370540      Online Users : 75
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31805

    Title: 天氣衍生性商品-雨量選擇權評價模式的研究
    Other Titles: Study of weather derivatives on rainfall option pricing model
    Authors: 黃建樹;Huang, Jian-shu
    Contributors: 淡江大學產業經濟學系碩士班
    廖惠珠;Liao, Huei-chu
    Date: 2005
    Issue Date: 2010-01-11 01:17:08 (UTC+8)
    Abstract: 西元1999年芝加哥商業交易所正式以美國十個城市的溫度為交易對象,利用十個城市過去的歷史溫度資料平均試算而得之交易指數,也開啟了世人對於預測溫度路徑的演算及各種派別的論證及看法。
    設計雨量商品最困難的地方在於如何評估雨量的路徑,這其中還具有相當多的爭議,最後回歸氣象學(meteorology)及氣候學(climatology)上最常用的Gamma分配去衡量雨量的路徑,選擇台灣現有氣象觀測站仍保有30年完整資料的14個觀測站為研究對象,契約期間選擇台灣主要雨季裡的梅雨季 (五、六月)及颱風雨季 (七、八、九月),以30年為評價基礎,計算14個城市的買權價格。以5、6月梅雨季的買權價格來看,位在台東的大武以及台南、高雄,在價格上都較其他11個城市較高;而7、8、9月颱風季的買權價格是成功、南投日月潭以及嘉義為最高。
    In 1999, Chicago Merchant Exchange began to trade temperature product with U.S. ten cities, use its historical data to average for index, and open to estimate temperature path studies.
    Weather risk of Taiwan affects deeply should 「Rainfall」not 「Temperature」. So as think over the geographical features, develop a real weather product contract to fit Taiwan, not just only use insurance to hedge risk.
    It is difficulty to design rainfall product, especially evaluate to rainfall path. Finally come back Gamma distribution of meteorology and climatology. Choosing 14 weather observe stations of Taiwan still contain 30 years records, plum rains (May、June) and a typhoon (July、August、September) of Taiwan main rain season, pricing 14 cities call option.And Dawu、Tainan、Kaohsiung are the highest price in May and June. Cheng-Kung、Nantou、Chiayi are also the highest price in July、August and September.
    This study is main differ from the past because use Gamma distribution, instead of traditional average approach. It’s really suitable to Taiwan weather risk.
    Appears in Collections:[產業經濟學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback