Solanilla Blanco, Sara Ana2025-11-282025-11-282025-03-261469-7688https://hdl.handle.net/2445/224530We study the local sensitivity of heating degree day (HDD) and cooling degree day (CDD) temper-ature futures and option prices with respect to perturbations in the deseasonalized temperature or inone of its derivatives up to a certain order determined by the continuous-time autoregressive pro-cess modelling the deseasonalized temperature in the HDD and CDD indexes. We also consider anempirical case where a continuous-time process of autoregressive order 3 is fitted to New York tem-peratures and we perform a study of the local sensitivity of these financial contracts and a posterioranalysis of the results.18 p.application/pdfengcc-by (c) Solanilla Blanco, 2025http://creativecommons.org/licenses/by/4.0/Models matemàticsConsum (Economia)TemperaturaClimatologiaMathematical modelsConsumption (Economics)TemperatureClimatologyinfo:eu-repo/semantics/article7619582025-11-28info:eu-repo/semantics/openAccess