| 基于福州市降水量数据研究降水期权定价 |
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| 引用本文： | 黄峰,王保乾.基于福州市降水量数据研究降水期权定价[J].水利经济,2017,35(6):44-49. |
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| 作者姓名： | 黄峰 王保乾 |
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| 作者单位： | 河海大学商学院, 江苏 南京 211100,河海大学商学院, 江苏 南京 211100 |
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| 基金项目： | 教育部重点支持领域科研专项(20116B31914) |
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| 摘 要： | 为应对干旱、洪涝等降水事件给相关经济主体带来的风险,基于1953年1月至2016年12月福州市月均累积降水量数据,运用威尔克斯法对降水量进行建模,利用蒙特卡罗模法对降水期权进行定价从而得到降水期权价值,并提出发展我国降水期权的政策建议。
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| 关 键 词： | 降水期权 定价 威尔克斯法 蒙特卡罗模拟 |
| 收稿时间： | 2017/5/12 0:00:00 |
Pricing of precipitation options based on precipitation data in Fuzhou |
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| HUANG Feng and WANG Baoqian.Pricing of precipitation options based on precipitation data in Fuzhou[J].Journal of Economics of Water Resources,2017,35(6):44-49. |
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| Authors: | HUANG Feng and WANG Baoqian |
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| Institution: | Business School, Hohai University, Nanjing 211100, China and Business School, Hohai University, Nanjing 211100, China |
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| Abstract: | In order to deal with the risk brought by the droughts and floods to the relevant economic subjects, the option pricing theory is employed to provide a risk management tool to respond the precipitation events. Based on the monthly mean precipitation data of Fuzhou from January 1953 to December 2016, the Wilks'' method is used to simulate the precipitation, and the precipitation options are valued by means of the Monte Carlo simulation. Some policy proposals are put forward for developing the precipitation options in China. |
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| Keywords: | precipitation option pricing Wilks'' method Monte Carlo simulation |
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