  We study the local sensitivity of heating degree day (HDD) and cooling degree
day (CDD) temperature futures and option prices with respect to perturbations
in the deseasonalized temperature or in one of its derivatives up to a certain
order determined by the continuous-time autoregressive process modelling the
deseasonalized temperature in the HDD and CDD indexes. We also consider an
empirical case where a CAR process of autoregressive order 3 is fitted to New
York temperatures and we perform a study of the local sensitivity of these
financial contracts and a posterior analysis of the results.
