Resumen

CLIMENT HERNANDEZ, José Antonio  y  RODRIGUEZ BENAVIDES, Domingo. Option's pricing on Mexico City temperature indices. Contad. Adm [online]. 2021, vol.66, n.3, 00013.  Epub 07-Feb-2022. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2021.2722.

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 α-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 α-stable processes, carrying out a monthly analysis of temperatures, estimating the α-stable parameters and justifying the relevance of the α-stable distributions with goodness of fit tests, estimating the mean reversion parameter to European call option's pricing on temperature indices with α-stable processes and quantify the hedge, concluding that the α-stable options are significant, minimize costs for energy consumption and have a similar behavior to the Gaussian options but with a lower cost.

Palabras llave : The α-stable processes; Weather derivatives; Financial engineering.

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