洪茂蔚2006-07-262018-06-292006-07-262018-06-292004http://ntur.lib.ntu.edu.tw//handle/246246/17044One of the most difficult features of pricing weather derivatives is that the mar-ket is incomplete. This project presents a new method for pricing weather deriva-tives in an incomplete market. The proposed method has two advantages shown in only a few of the models discussed in other weather-related articles. First, the method for pricing assets in an incomplete market is used to overcome the non-tradable feature of the underlying assets of the weather derivatives in which the no-arbitrage method breaks down. Second, an efficient analytical method is incor-porated into the proposed model to make the Asian-type payout of weather deriva-tives much easier to evaluate than by any other numerical methods.application/pdf64756 bytesapplication/pdfzh-TW國立臺灣大學國際企業學系暨研究所weather derivativesnon-traded assetincomplete marketreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/17044/1/922416H002018.pdf