Weather options valuations of fisheries sector in México
- Autores: Abraham Alva, Guillermo Sierra
- Localización: Ecorfan Journal, ISSN-e 2007-1582, Vol. 4, Nº. 11, 2013, págs. 1194-1209
- Idioma: inglés
- Enlaces
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Resumen
The main objective of this paper develops a model of weather derivatives whose underlying physical variable is the temperature of the sea and has an application for coverage in the Mexican Pacific Fisheries Sector especially its relation to the natural phenomenon "El Niño". Historical information on the sea temperature is taken from different regions of the Mexican Pacific in order to propose a stochastic process describing the evolution of the temperature of the sea. As a first point is modeled the temperature, also taking into account that this is an underlying weather that cannot be traded, is used a market price of risk constant, which is an important parameter to calculate the prices of options contracts climatic into a derivatives market incomplete. We present the application of the model for the industry in some regions of the Mexican Pacific Fisheries Sector using the Monte Carlo simulation method. Also shows the specifications that should have some weather options contracts as well as numerical examples of prices for these contracts.
