Freight options: Price modelling and empirical analysis

被引：37

作者：

Nomikos, Nikos K. ^{[1
]}

Kyriakou, Ioannis ^{[1
]}

Papapostolou, Nikos C. ^{[1
]}

Pouliasis, Panos K. ^{[1
]}

机构：

[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

来源：

TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW | 2013年 / 51卷

关键词：

Shipping; Spot freight rates; Jump diffusion model; Forward start average options; Freight option price model; PERFORMANCE; VOLATILITY; ALGORITHM;

D O I：

10.1016/j.tre.2012.12.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are commonly traded in the freight derivatives market. By exploiting the computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the trip-charter route average Baltic Capesize, Panamax and Supramax Indices. We show that the jump-extended setting yields important model improvements over the basic lognormal setting.. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：82 / 94

页数：13

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