Work

Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices

Year: 2025

Type: article

Abstract: We study the local sensitivity of heating degree day (HDD) and cooling degree day (CDD) temper-ature futures and option prices with respect to perturbations in the deseasonalized temperature or inone of its derivatives up to a certain order determined by the continuous-time autoregressive pro-cess modelling the deseasonalized temperature in the HDD and CDD indexes. We also consider anempirical case where a continuous-time process of autoregressive order 3 is ﬁtted to New York tem-peratures and we perform a study of the local sensitivity of these ﬁnancial contracts and a posterioranalysis of the results.

Source: Dipòsit Digital de la Universitat de Barcelona (Universitat de Barcelona)

Author: Solanilla Blanco, Sara Ana

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W7112909696

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