臺大管理論叢第31卷第1期

144 Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts References Alexandridis, A. K., and Zapranis, A. D. 2013. Weather Derivatives: Modeling and Pricing Weather-Related Risk. New York, NY: Springer. Barnett, M., Brock, W., and Hansen, L. P. 2020. Pricing uncertainty induced by climate change. The Review of Financial Studies, 33 (3): 1024-1066. Benth, F. E., Benth, J. Š., and Koekebakker, S. 2007. Putting a price on temperature. Scandinavian Journal of Statistics, 34 (4): 746-767. Black, F., and Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy, 81 (3): 637-654. Brockett, P. L., Wang, M., Yang, C., and Zou, H. 2006. Portfolio effects and valuation of weather derivatives. Financial Review, 41 (1): 55-76. Bühlmann, H. 1980. An economic premium principle. ASTIN Bulletin, 11 (1): 52-60. Cabrera, B. L., Odening, M., and Ritter, M. 2013. Pricing rainfall futures at the CME. Journal of Banking & Finance, 37 (11): 4286-4298. Cao, M., Li, A., and Wei, J. 2004. Precipitation modeling and contract valuation: A frontier in weather derivatives. The Journal of Alternative Investments, 7 (2): 93-99. Carmona, R., and Diko, P. 2005. Pricing precipitation based derivatives. International Journal of Theoretical and Applied Finance, 8 (7): 959-988. Chang, C. C., Lin, S. K., and Yu, M. T. 2011. Valuation of catastrophe equity puts with Markov-modulated Poisson processes. Journal of Risk and Insurance, 78 (2): 447-473. Choi, D., Gao, Z., and Jiang, W. 2020. Attention to global warming. The Review of Financial Studies, 33 (3): 1112-1145. Cont, R., and Tankov, P. 2004. Financial Modelling with Jump Processes. London, UK: Chapman and Hall. Cramer, S., Kampouridis, M., Freitas, A. A., and Alexandridis, A. K. 2017. An extensive evaluation of seven machine learning methods for rainfall prediction in weather derivatives. Expert Systems with Applications, 85 (1): 169-181. Dorfleitner, G., and Wimmer, M. 2010. The pricing of temperature futures at the Chicago mercantile exchange. Journal of Banking & Finance, 34 (6): 13601370. Esscher, F. 1932. On the probability function in the collective theory of risk. Scandinavian Actuarial Journal, 1932 (3): 175-195.

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