The Market Price of Risks in The Shipping Freight Market

被引：0
|
作者：
Mohtar, Zul Izwan [1 ]
机构：
[1] Univ Malaysia Terengganu, Fac Ocean Engn Technol & Informat, Kuala Nerus 21030, Terengganu, Malaysia
来源：
MATEMATIKA | 2023年 / 39卷 / 02期
关键词：
Freight markets; forward curve; spot and forward price; market price of risks; stochastic volatility; derivatives pricing; VOLATILITY RISK;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper aims to estimate the market price of risks from the relationship between the spot and forward price dynamics in the shipping freight market. We employ three different stochastic models, which are analytically tractable and enable for pricing of forwards. Subsequently, we examine the forward curve performance. By doing that in such a way, we offer a method for estimating the market price of risk and the market price of volatility risk by adjusting theoretical prices to today's observed forward curve. The findings of this study are essential for minimizing the difference of price gap between the theoretical and actual forward prices.
引用
收藏
页码：173 / 190
页数：18
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