RT info:eu-repo/semantics/article
T1 Including jumps in the stochastic valuation of freight derivatives
A1 Gómez del Valle, María Lourdes
A1 Martínez Rodríguez, Julia
K1 Spot freight rates
K1 Freight options
K1 Stochastic jump-diffusion process
K1 Stochastic delay differential equation
K1 Risk-neutral measure
K1 Arbitrage arguments
K1 Partial integro-differential equations
AB The spot freight rate processes considered in the literature for pricing forward freightagreements (FFA) and freight options usually have a particular dynamics in order to obtain the prices.In those cases, the FFA prices are explicitly obtained. However, for jump-diffusion models, an exactsolution is not known for the freight options (Asian-type), in part due to the absence of a suitablevaluation framework. In this paper, we consider a general jump-diffusion process to describe the spotfreight dynamics and we obtain exact solutions of FFA prices for two parametric models. Moreover,we develop a partial integro-differential equation (PIDE), for pricing freight options for a generalunifactorial jump-diffusion model. When we consider that the spot freight follows a geometricprocess with jumps, we obtain a solution of the freight option price in a part of its domain. Finally,we show the effect of the jumps in the FFA prices by means of numerical simulations.
PB MDPI
SN 2227-7390
YR 2021
FD 2021
LK https://uvadoc.uva.es/handle/10324/81614
UL https://uvadoc.uva.es/handle/10324/81614
LA eng
NO Mathematics, 2021, vol. 9, n. 2.
NO Producción Científica
DS UVaDOC
RD 16-ene-2026