指数効用関数に基づく無差別価格の一例としての天候デリバティブ解析的評価式

元データ 2005-06-25

概要

In this research, I derive a closed-form solution of weather derivative as an example of indifference prices under exponential preferences and then examine the price sensitivities of the derivative. To the goal, firstly, I point out the continuous form of Dischel model is Hull and While model in the literature of interest rate model. Secondly, I derive the process of the accumulated temperature process based on the continuous Dischel model.

著者

宮崎 浩一 電気通信大学
宮崎 浩一 電気通信大学電気通信学研究科システム工学専攻

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