Koekebakker, Steen; Adland, Roar; Sødal, Sigbjørn - In: Transportation Research Part E: Logistics and … 43 (2007) 5, pp. 535-548
In this paper we set up the theoretical framework for the valuation of the Asian-style options traded in the freight derivatives market. Assuming lognormal spot freight dynamics, we show that Forward Freight Agreements (FFA) are also lognormal prior to the settlement period, but that this...