Modeling and Pricing Typhoon Options: A Case Study in Taiwan

• Main Authors: Yu Hui Ko, 柯郁慧
• Other Authors: C. Y. Tsao
• Format: Others
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/26393953715099646430

碩士 === 長庚大學 === 企業管理研究所 === 97 === Chicago Merchandise Exchange（CME）issued first weather derivatives in 1997 and started an electronic market place for weather derivatives in 1999. For avoid the damage from hurricane, Chicago Merchandise Exchange developed hurricane derivatives in 2005. Because Taiwan is located at western Pacific Ocean typhoon area, every typhoon seasons suffered damages from typhoon. Those industry and enterprise, has highly sensitive to the climate, has the loss. Before not having the Typhoon Options, industry and enterprise hedge loss by government subsidy and buying insurance contracts. Taking this into consideration, this study imitate American CHI index to build up Taiwan typhoon index (CHI_tw) by using 1958 to 2007 typhoons’ data. Then use Numerical Method to calculate call options price.