Showing 71 - 80 of 159
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...
Persistent link: https://www.econbiz.de/10010754974
Persistent link: https://www.econbiz.de/10010086680
We present a joint Monte Carlo-Fourier transform sampling scheme for pricing derivative products under a Carr-Geman-Madan-Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305-332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies on...
Persistent link: https://www.econbiz.de/10013037531
We develop an accurate valuation setup for freight options, featuring an exponential mean-reverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we...
Persistent link: https://www.econbiz.de/10012901866
We develop a coherent framework for the valuation of real assets and determination of the optimal time to invest. To this end, we model the stochastic nature of income and develop methodologies for valuing traded derivatives to facilitate model calibration. A valuation paradigm for...
Persistent link: https://www.econbiz.de/10012902837
Crude oil derivatives form an important part of the global derivatives market. In this paper, we focus on Asian options which are favoured by risk managers being effective and cost-saving hedging instruments. The paper has both empirical and theoretical contributions: we conduct an empirical...
Persistent link: https://www.econbiz.de/10012903104
We examine whether investors herd in their decision to order new or scrap old vessels in the drybulk market. Our paper is seminal as herd behavior in the shipping markets has not been previously investigated. We decompose herding into unintentional and intentional, and test for herd behavior...
Persistent link: https://www.econbiz.de/10012903297
In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and...
Persistent link: https://www.econbiz.de/10012905619
This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...
Persistent link: https://www.econbiz.de/10012906221
This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into distinct components: a persistent stable process with...
Persistent link: https://www.econbiz.de/10012893236