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Valuation of time charter contracts for ships

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  • Jens Moberg Rygaard

Abstract

This article describes a valuation method for time charter contracts for ships, i.e. leasing contracts for ships with embedded Bermudan options for buying the ship and extending the contract. As there often are embedded foreign exchange options in the buy options on the ship, a two factor stochastic model is developed and it is shown how the price can be determined applying techniques from contingent claim analysis such as dynamic programming.

Suggested Citation

  • Jens Moberg Rygaard, 2009. "Valuation of time charter contracts for ships," Maritime Policy & Management, Taylor & Francis Journals, vol. 36(6), pages 525-544, December.
    • Handle: RePEc:taf:marpmg:v:36:y:2009:i:6:p:525-544
    DOI: 10.1080/03088830903346087
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    Cited by:

    1. Ahmed Al sharif & Ruwen Qin, 2015. "Double-sided price adjustment flexibility with a preemptive right to exercise," Annals of Operations Research, Springer, vol. 226(1), pages 29-50, March.
    2. Adland, Roar & Prochazka, Vit, 2021. "The value of timecharter optionality in the drybulk market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
    3. Javier Población & Gregorio Serna, 2018. "A common long-term trend for bulk shipping prices," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 20(3), pages 421-432, September.

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