Valuation of freight derivatives based on continuous-time stochastic models

DOI10.1007/S13160-024-00686-YMaRDI QIDQ6986943zbMATH OpenFDO

Authors Zul Izwan Mohtar, Che Mohd Imran Che Taib

Publication date 7 May 2025

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S13160-024-00686-Y

zbMATH Keywords

freight derivativesfreight ratesLévy processesnormal inverse Gaussianstochastic models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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• Forward pricing in the shipping freight market
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• Stochastic modeling of electricity and related markets.
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• The pricing of options and corporate liabilities
• The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
• Time charters with purchase options in shipping: valuation and risk management

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