Pricing weather derivatives by marginal value
用数学经济学中的边际替代价值（影子价格）方法，为天气衍生品这种不完全市场资产定价，将累积采暖度日数和商品价格建模为几何布朗运动，得到互换利率和期权价值的显式表达式。
Abstract Weather derivatives are a classic incomplete market. This paper gives a preliminary exploration of weather derivative pricing using the 'marginal substitution value' or 'shadow price' approach of mathematical economics. Accumulated heating degree days (HDD) and commodity prices are modelled as geometric Brownian motion, leading to explicit expressions for swap rates and option values.