限界効用による気温オプションの価格付けとリスク感度分析

概要

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This paper focuses on pricing “temperature options” and the risk sensibility analysis through the marginal substitution value approach. First, in an analogous way to that in Davis [4], a computational procedure to evaluate the fair price of the temperature options is formulated for a purchaser with utility functions of HARA type whose profit function is directly/inversely proportional to the underlying temperature index. Next, as an illustrative example, by using the procedure together with a time series model of daily air temperatures at Nagoya, temperature option prices on the accumulated cooling degree days (CDDs) in summer for a electric power producer and a gas producer are calculated numerically. Finally, through some numerical simulations in the framework, the risk sensibility of the options prices with respect to a risk aversion coefficient and correlation coefficient between temperature index and a electric power/gas spot price is investigated.