Pricing Temperature Derivatives under Jump Risks and Stochastic Volatility
博士 === 國立政治大學 === 金融研究所 === 103 === This study uses the daily average temperature index (DAT) and market price of the CDD/HDD derivatives for 18 cities from the CME group. There are some contributions in this study: (i) we extend the Alaton, Djehince, and Stillberg (2002)'s framework by introdu...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/97561289332879381358 |