Research Article
Modeling Temperature and Pricing Weather Derivatives Based on Temperature
Table 4
Parameter estimation for CDD calculations.
| City | Year | A | B | C | Phase | b | Gamma_0 | Gamma_1 | Fast_Inten | Fast_Mean | Fast_sd | Slow_Inten | Slow_Mean | Slow_sd | Beta |
| Ankara | 5 | 50.19 | 0.001854 | 21.32 | −2.77 | 0.193962 | 95.952994 | 0.9637143 | 0.0016438 | −0.5543834 | 0.4924429 | 0.0054795 | −6.1314104 | 5.1345993 | 0.3835657 | Beijing | 19 | 54.96688 | | 27.14738 | −2.91682 | 0.351405 | 63.312073 | 0.980961 | 0.000721 | −1.5276715 | 1.531992 | 0.00100937 | −2.9315846 | 2.019894 | 0.385117 | Cairo | 5 | 71.94036 | 0.002198 | 13.39397 | −2.74021 | 0.36773 | 104.83607 | 0.983445 | 0.0021918 | 0.3088935 | 1.644226 | 0.00273973 | −1.7313942 | 0.945926 | 0.544186 | Chicago | 7 | 51.70 | −0.00034 | 25.18 | −2.80 | 0.253619 | 108.27 | 0.963663 | 0.003131 | −3.281461 | 3.025694 | 0.005871 | −5.240072 | 4.234712 | 0.397902 | Dallas | 5 | 69.85579 | −0.00172 | 20.02312 | −2.83355 | 0.269534 | 314.92838 | 0.934 | 0.0032877 | −3.2390974 | 1.069774 | 0.00657534 | −3.3012769 | 3.345035 | 0.4432 | Istanbul | 5 | 59.32 | 0.00134 | 18.10 | −2.69 | 0.264510 | 183.29 | 0.949545 | 0.002192 | 0.067349 | 0.601966 | 0.002740 | −2.406968 | 1.833246 | 0.561837 | Los Angeles | 32 | 63.81324 | | 6.699702 | −2.46624 | 0.208063 | 312.82723 | 0.9232099 | 0.0058219 | 0.3913695 | 1.425177 | 0.00984589 | 1.02398907 | 3.358289 | 0.40139 | New York | 7 | 54.63592 | 0.000548 | 21.77908 | −2.71524 | 0.286476 | 165.02405 | 0.9447895 | 0.0015656 | −1.6825421 | 2.360227 | 0.00508806 | −3.8112152 | 3.30503 | 0.684576 | Paris | 8 | 54.66317 | −0.00085 | 15.5993 | −2.83742 | 0.218952 | 150.30161 | 0.9485509 | 0.005137 | −0.4207048 | 1.581089 | 0.00513699 | −0.1355112 | 4.770146 | 0.255761 | Sydney | 9 | 65.07105 | 0.000171 | 9.53934 | −2.86309 | 0.535114 | 426.96927 | 0.9023923 | 0.0152207 | 1.6436984 | 1.81751 | 0.00182648 | 2.58516471 | 2.615411 | 0.764766 | Tokyo | 18 | 61.60 | | 18.53 | −2.63 | 0.497182 | 214.39 | 0.944722 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | Washington | 8 | 57.7754 | 0.000801 | 22.01289 | −2.78212 | 0.284276 | 169.0818 | 0.9526032 | 0.0041096 | −1.6365612 | 1.493845 | 0.00376712 | −3.2540612 | 2.309414 | 0.561109 |
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Year represents amount of data in years that produced best estimation results. sd means standard deviation.
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