Forecasting dirty tanker freight rate index by using stochastic differential equations
Author
Abstract
Suggested Citation
DOI: 10.1142/S2424786318500342
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Manolis G Kavussanos, 2003. "Time Varying Risks Among Segments of the Tanker Freight Markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 5(3), pages 227-250, September.
- Lu Jing & Peter B. Marlow & Wang Hui, 2008. "An analysis of freight rate volatility in dry bulk shipping markets," Maritime Policy & Management, Taylor & Francis Journals, vol. 35(3), pages 237-251, June.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Amir H. Alizadeh & Nikos K. Nomikos, 2009. "Shipping Derivatives and Risk Management," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-23580-9, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wolfgang Drobetz & Tim Richter & Martin Wambach, 2012. "Dynamics of time-varying volatility in the dry bulk and tanker freight markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1367-1384, August.
- Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
- Peter Carr & Liuren Wu, 2014.
"Static Hedging of Standard Options,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46.
- Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
- Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
- Pringles, Rolando & Olsina, Fernando & Penizzotto, Franco, 2020. "Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method," Renewable Energy, Elsevier, vol. 151(C), pages 846-864.
- Sandrine Lardic & Claire Gauthier, 2003.
"Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets,"
Économie et Prévision, Programme National Persée, vol. 159(3), pages 53-69.
- Claire Gauthier & Sandrine Lardic, 2003. "Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets," Economie & Prévision, La Documentation Française, vol. 159(3), pages 53-69.
- René Garcia & Richard Luger & Eric Renault, 2000.
"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
Working Papers
2000-57, Center for Research in Economics and Statistics.
- René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
- Carvalho, Augusto & Guimaraes, Bernardo, 2018.
"State-controlled companies and political risk: Evidence from the 2014 Brazilian election,"
Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
- Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
- Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
- Viktor Stojkoski & Trifce Sandev & Lasko Basnarkov & Ljupco Kocarev & Ralf Metzler, 2020. "Generalised geometric Brownian motion: Theory and applications to option pricing," Papers 2011.00312, arXiv.org.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019. "A Volatility Smile-Based Uncertainty Index," Working Papers Series 502, Central Bank of Brazil, Research Department.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015.
"Approximate Hedging Of Options Under Jump-Diffusion Processes,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
- Karl Mina & Gerald Cheang & Carl Chiarella, 2013. "Approximate Hedging of Options under Jump-Diffusion Processes," Research Paper Series 340, Quantitative Finance Research Centre, University of Technology, Sydney.
- Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
- Malz, Allan M., 1996. "Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 717-748, October.
- Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019.
"A general closed form option pricing formula,"
Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
- Ciprian Necula & Gabriel G. Drimus & Walter Farkas, 2015. "A General Closed Form Option Pricing Formula," Swiss Finance Institute Research Paper Series 15-53, Swiss Finance Institute, revised Mar 2016.
- Yongxin Yang & Yu Zheng & Timothy M. Hospedales, 2016. "Gated Neural Networks for Option Pricing: Rationality by Design," Papers 1609.07472, arXiv.org, revised Mar 2020.
- Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378, July.
- Semih Yon & Cafer Erhan Bozdag, 2014. "Test of Log-Normal Process with Importance Sampling for Options Pricing," Proceedings of Economics and Finance Conferences 0401571, International Institute of Social and Economic Sciences.
More about this item
Keywords
Tanker freight rate; forecasting; stochastic differential equation; simulation; ARIMA model;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijfexx:v:05:y:2018:i:04:n:s2424786318500342. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/worldscinet/ijfe .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.