Notice of RetractionWeather derivatives pricing based on Ornstein-Uhlenbeck model under time series assumption

As an innovative product in foreign financial market, weather derivatives provide new ways for risk managing and transference. Its pricing is a core problem in researches. This paper applies the Ornstein-Uhlenbeck model, combining by time series assumption to simulate the variance of weather process, estimates the parameters using Shanghai's temperature data of years 1951-2009. Then the accuracy of this model will be testified. The result indicated that which can improve the accuracy of temperature forecasting level and complete weather derivatives pricing process reasonably by adopting Monte Carlo simulation.