<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422021000300013</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2021.2722</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Valuación de opciones sobre índices de la temperatura de la Ciudad de México]]></article-title>
<article-title xml:lang="en"><![CDATA[Option's pricing on Mexico City temperature indices]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Climent Hernández]]></surname>
<given-names><![CDATA[José Antonio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Rodríguez Benavides]]></surname>
<given-names><![CDATA[Domingo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2021</year>
</pub-date>
<volume>66</volume>
<numero>3</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422021000300013&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422021000300013&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422021000300013&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En este trabajo son presentadas innovaciones para valuar opciones sobre índices de temperatura suponiendo que una organización necesita una cobertura, el modelo propuesto es obtenido aplicando una ecuación diferencial estocástica con procesos &#945;-estables, analizando el comportamiento de las temperaturas del observatorio de Tacubaya en el periodo de 01/01/1958 al 31/12/2018, estimando los estadísticos descriptivos, un modelo determinista de reversión a la media significativo y proponiendo un modelo estocástico de reversión a la media con procesos &#945;-estables, realizando un análisis mensual de las temperaturas, estimando los parámetros &#945;-estables y justificando la pertinencia de las distribuciones &#945;-estables con pruebas de bondad de ajuste, estimando el parámetro de reversión a la media para valuar opciones europeas sobre índices de temperatura con procesos &#945;-estables y cuantificar la cobertura, concluyendo que las opciones &#945;-estables son significativas, minimizan los costos por consumo energético y presentan un comportamiento similar a las opciones gaussianas pero con un costo menor.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In this work are proposed the innovations to option's pricing on temperature indices assuming that a company needs a hedge, the proposed model is obtained by applying a stochastic differential equation with &#945;-stable processes, analyzing the behavior of the Tacubaya central observatory temperatures during the period from 01/01/1958 to 12/31/2018, estimating descriptive statistics, a significant deterministic mean reversion model and proposing a stochastic mean reversion model with &#945;-stable processes, carrying out a monthly analysis of temperatures, estimating the &#945;-stable parameters and justifying the relevance of the &#945;-stable distributions with goodness of fit tests, estimating the mean reversion parameter to European call option's pricing on temperature indices with &#945;-stable processes and quantify the hedge, concluding that the &#945;-stable options are significant, minimize costs for energy consumption and have a similar behavior to the Gaussian options but with a lower cost.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Procesos &#945;-estables]]></kwd>
<kwd lng="es"><![CDATA[Derivados climáticos]]></kwd>
<kwd lng="es"><![CDATA[Ingeniería financiera]]></kwd>
<kwd lng="en"><![CDATA[The &#945;-stable processes]]></kwd>
<kwd lng="en"><![CDATA[Weather derivatives]]></kwd>
<kwd lng="en"><![CDATA[Financial engineering]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Alaton]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Djehiche]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Stillberger]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On modelling and pricing weather derivatives]]></article-title>
<source><![CDATA[Applied Mathematical Finance]]></source>
<year>2002</year>
<volume>9</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>1-20</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Alva Vázquez]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Sierra Juárez]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Opciones climáticas para el sector pesquero del pacífico mexicano]]></article-title>
<source><![CDATA[Panorama Económico]]></source>
<year>2010</year>
<volume>VI</volume>
<numero>11</numero>
<issue>11</issue>
<page-range>29-61</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Benth]]></surname>
<given-names><![CDATA[F. E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On arbitrage-free pricing of weather derivatives based on fractional brownian motion]]></article-title>
<source><![CDATA[Applied Mathematical Finance]]></source>
<year>2003</year>
<volume>10</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>303-24</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Benth]]></surname>
<given-names><![CDATA[F.E.]]></given-names>
</name>
<name>
<surname><![CDATA[Härdle]]></surname>
<given-names><![CDATA[W.K.]]></given-names>
</name>
<name>
<surname><![CDATA[López Cabrera]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Pricing of Asian temperature risk]]></article-title>
<source><![CDATA[Statistical Tools for Finance and Insurance]]></source>
<year>2011</year>
<publisher-loc><![CDATA[Berlin ]]></publisher-loc>
<publisher-name><![CDATA[Springer]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Black]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Scholes]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The pricing of options and corporate liabilities]]></article-title>
<source><![CDATA[Journal of Political Economy]]></source>
<year>1973</year>
<volume>81</volume>
<page-range>637-54</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Brody]]></surname>
<given-names><![CDATA[D. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Syroka]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Zervos]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Dynamical pricing of weather derivatives]]></article-title>
<source><![CDATA[Quantitative Finance]]></source>
<year>2002</year>
<volume>2</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>189-98</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chang]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Tang]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A fitted finite-volume method combined with the Lagrangian derivative for the eeather option pricing]]></article-title>
<source><![CDATA[Model Computational Methods in Applied Mathematics]]></source>
<year>2016</year>
<volume>16</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>17-33</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Considine]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Introduction to weather derivatives]]></article-title>
<source><![CDATA[Weather Derivatives Group]]></source>
<year>2000</year>
<publisher-name><![CDATA[Aquila Energy]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dzupire]]></surname>
<given-names><![CDATA[N. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Ngare]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Odongo]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Pricing basket weather derivatives on rainfall and temperatura processes]]></article-title>
<source><![CDATA[International Journal of Financial Studies]]></source>
<year>2019</year>
<volume>7</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>1-14</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Goncu]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Pricing temperature-based weather contracts: an application to China]]></article-title>
<source><![CDATA[Applied Economics Letters]]></source>
<year>2011</year>
<volume>18</volume>
<page-range>1349-54</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Groll]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[López Cabrera]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Meyer Brandis]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A consistent two-factor model for pricing temperature derivatives]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2016</year>
<volume>55</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>112-26</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Huang]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
<name>
<surname><![CDATA[Yang]]></surname>
<given-names><![CDATA[S. S.]]></given-names>
</name>
<name>
<surname><![CDATA[Chang]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Modeling temperature behaviors: Application to weather derivative valuation]]></article-title>
<source><![CDATA[The Journal of Futures and Markets]]></source>
<year>2018</year>
<volume>38</volume>
<numero>9</numero>
<issue>9</issue>
<page-range>1152-75</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jain]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Baile]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Managing weather risks]]></article-title>
<source><![CDATA[Strategic Risk]]></source>
<year>2000</year>
</nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Manfredo]]></surname>
<given-names><![CDATA[M. R.]]></given-names>
</name>
<name>
<surname><![CDATA[Richards]]></surname>
<given-names><![CDATA[T. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Hedging with weather derivatives: a role for options in reducing basis risk]]></article-title>
<source><![CDATA[Applied Financial Economics]]></source>
<year>2009</year>
<volume>19</volume>
<page-range>87-97</page-range></nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Musshoff]]></surname>
<given-names><![CDATA[O.]]></given-names>
</name>
<name>
<surname><![CDATA[Odening]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Xu]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Management of climate risks in agriculture -will weather derivatives permeate?]]></article-title>
<source><![CDATA[Applied Economics]]></source>
<year>2009</year>
<volume>43</volume>
<numero>9</numero>
<issue>9</issue>
<page-range>1-11</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Nave Pineda]]></surname>
<given-names><![CDATA[J. M.]]></given-names>
</name>
<name>
<surname><![CDATA[González Sánchez]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Valoración de derivados sobre el clima a partir de la modelización estocástica de la temperatura en el Aeropuerto Eldorado de Bogotá]]></article-title>
<source><![CDATA[Cuadernos de Administración]]></source>
<year>2010</year>
<volume>23</volume>
<page-range>261-83</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Platen]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[West]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A fair pricing approach to weather derivatives]]></article-title>
<source><![CDATA[Asian Pacific Financial Markets]]></source>
<year>2004</year>
<volume>11</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>23-53</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Samorodnitsky]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Taqqu]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Stable non-Gaussian random processes: Stochastic models with infinite variance]]></source>
<year>1994</year>
<edition>First</edition>
<publisher-loc><![CDATA[New York ]]></publisher-loc>
<publisher-name><![CDATA[Chapman and Hall]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Tang]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
<name>
<surname><![CDATA[Chang]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A Semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion]]></article-title>
<source><![CDATA[Computers and Mathematics with Applications]]></source>
<year>2016</year>
<volume>71</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>1045-58</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Uhlenbeck]]></surname>
<given-names><![CDATA[G. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Ornstein]]></surname>
<given-names><![CDATA[L. S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On the theory of Brownian motion]]></article-title>
<source><![CDATA[Physical Review]]></source>
<year>1930</year>
<volume>36</volume>
<page-range>823-41</page-range></nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Zolotarev]]></surname>
<given-names><![CDATA[V. M.]]></given-names>
</name>
</person-group>
<source><![CDATA[One-Dimensional stable distributions]]></source>
<year>1986</year>
<edition>First</edition>
<publisher-name><![CDATA[American Mathematical Society]]></publisher-name>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
