Research Article
Modeling Temperature and Pricing Weather Derivatives Based on Temperature
Table 6
values of parameters for CDD calculations.
| City | A | B | C | Phase | Gamma_0 | Gamma_1 | Fast_Mean | Slow_Mean |
| Ankara | 0 | 0 | 0 | 0 | NS | 0.00263 | 0.1609 | 0 | Antalya | 0 | 0 | 0 | 0 | NS | NS | 0.3143 | 0.7321 | Beijing | 0 | NS | 0 | 0 | NS | 0 | 0.096 | 0 | Bursa | 0 | 0 | 0 | 0 | NS | NS | 0.3216 | 0 | Cairo | 0 | 0 | 0 | 0 | NS | NS | 0.6717 | 0.001395 | Chicago | 0 | NS | 0 | 0 | <0.01 | 0 | 0.03218 | 0 | Dallas | 0 | 0 | 0 | 0 | NS | NS | 0.01897 | 0 | Istanbul | 0 | 0 | 0 | 0 | NS | NS | 0.7978 | 0 | Los Angeles | 0 | 0 | 0 | 0 | NS | NS | 0.02789 | 0 | New York | 0 | <0.001 | 0 | 0 | NS | <0.001 | 0.2038 | 0 | Paris | 0 | 0 | 0 | 0 | NS | <0.01 | 0.3038 | 0.8347 | Sydney | 0 | <0.01 | 0 | 0 | NS | NS | 0 | 0.0056 | Tokyo | 0 | <0.01 | 0 | 0 | NS | <0.01 | NA | NA | Washington | 0 | 0 | 0 | 0 | NS | <0.001 | 0.009 | 0 |
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NS: not statistically significant. NA: not available.
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