TY  - JOUR 
AU  - Gómez del Valle, María Lourdes
AU  - Kyriakou, Ioannis
AU  - Martínez Rodríguez, Julia
AU  - Nomikos, Nikos K.
PY  - 2021
SN  - 0270-7314
UR  - https://uvadoc.uva.es/handle/10324/81613
AB  - We present a new method for estimating the unobservable drift of the risk‐
neutral spot freight rate process from Forward Freight Agreements (FFA)
prices in the absence of a closed‐form solution and demonstrate robustness via
numerical simulations....
LA  - eng
PB  - Wiley
KW  - Finite differences
KW  - Forward freight agreements
KW  - Freight rates
KW  - Market price of risk
KW  - Nonparametric estimation
KW  - Risk‐neutral drift
TI  - Estimating risk-neutral freight rate dynamics: a nonparametric approach
DO  - https://doi.org/10.1002/fut.22244
ER  -