| 基于神经网络和蒙特卡罗方法的天气衍生品定价研究 |
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| 引用本文： | 涂春丽,王芳. 基于神经网络和蒙特卡罗方法的天气衍生品定价研究[J]. 中原工学院学报, 2012, 0(3): 7-9,33 |
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| 作者姓名： | 涂春丽 王芳 |
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| 作者单位： | 重庆师范大学经济与管理学院;西南科技大学经济与管理学院 |
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| 基金项目： | 国家自然科学基金项目(61001125) |
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| 摘 要： | 参考温度变化过程的固有特性,利用1951年至2010年重庆市的温度数据,采用BP神经网络对温度进行预测估计,并采用蒙特卡洛方法对天气衍生品进行定价.仿真结果表明,该方法有效且相对误差较小,对开发重庆市的天气衍生品市场有一定的实用价值.
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| 关 键 词： | 天气衍生品 蒙特卡洛方法 BP神经网络 天气风险管理 |
Weather Derivatives Pricing Research Based on BP Neural Network |
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| TU Chun-li,WANG Fang. Weather Derivatives Pricing Research Based on BP Neural Network[J]. Journal of Zhongyuan Institute of Technology, 2012, 0(3): 7-9,33 |
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| Authors: | TU Chun-li WANG Fang |
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| Affiliation: | 1.Chongqing Normal University,Chongqing 400030; 2.Southwest University of Science and Technology,Mianyang 621010,China) |
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| Abstract: | Firstly,based on temperature inherent physical characteristic,taking temperature data of Chongqing from 1951 year to 2010 year as data set,BP artificial neural network model was used to estimate and forecast the temperature.Secondly,weather derivatives pricing was implemented by Monte Carlo method.The results of empirical simulation and model verification show that the model has relative minor error.It has important significance to the development of weather derivatives market in Chongqing. |
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| Keywords: | weather derivatives Monte Carlo method BP neural network weather risk management |
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