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

Year represents amount of data in years that produced best estimation results.
sd means standard deviation.