天氣衍生性商品－雨量選擇權評價模式的研究

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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。台灣對天氣風險因子真正受影響較大的應該是「雨量」而不是「溫度」。因此考量地理環境的不同點之後，發展出一套真正適合台灣的天氣商品合約，而不再只是利用現有市場上的「保險」方式消極的趨避風險。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。本研究與過去估算降雨量最大的不同點在於：不再運用一般市場上習慣的簡單平均法，而是借用氣象學對雨量路徑的評估－Gamma分配。套用Gamma模型去模擬雨量的路徑，設計出真正符合台灣當地天氣因子的商品。 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:	[Graduate Institute & Department of Industrial Economics] Thesis

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