dc.contributor.author
Solanilla Blanco, Sara Ana
dc.date.accessioned
2025-12-05T05:57:08Z
dc.date.available
2025-12-05T05:57:08Z
dc.date.issued
2025-11-28T18:25:51Z
dc.date.issued
2025-11-28T18:25:51Z
dc.date.issued
2025-03-26
dc.date.issued
2025-11-28T18:25:51Z
dc.identifier
https://hdl.handle.net/2445/224530
dc.identifier.uri
https://hdl.handle.net/2445/224530
dc.description.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.
dc.format
application/pdf
dc.publisher
Institute of Physics Pub.
dc.relation
Reproducció del document publicat a: https://doi.org/10.1080/14697688.2025.2471347
dc.relation
Quantitative Finance, 2025, vol. 25, num.4, p. 653-670
dc.relation
https://doi.org/10.1080/14697688.2025.2471347
dc.rights
cc-by (c) Solanilla Blanco, 2025
dc.rights
http://creativecommons.org/licenses/by/4.0/
dc.rights
info:eu-repo/semantics/openAccess
dc.subject
Models matemàtics
dc.subject
Consum (Economia)
dc.subject
Mathematical models
dc.subject
Consumption (Economics)
dc.title
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/publishedVersion
