干散货航运市场运费期权定价计算方法研究

An Approach to Freight Option Pricing Model Research in Dry Bulk Shipping Market

采用挪威奥斯陆国际海事交易所推出的运费期权为研究对象,借鉴金融市场中的期权定价方法,建立亚式期权定价的理论框架.运费期权属于算术平均亚式期权,原生资产——运价就不再服从几何布朗运动,也就难以得到显性解.文中用几何布朗运动近似代替离散时间下的算术平均亚式期权,然后求出其一阶矩和二阶矩,并对其求极限,这样得到的结果就与连续情况下算术平均亚式期权价格的一阶矩和二阶矩相等.

In this paper we establish the theoretical framework for the valuation of the Asian--style options traded in the freight derivatives market. However, due to freight option is an arithmetic average Asian option, spot freight no longer follows a geometric Brownian motion. So, it is difficult to draw out the explicit solutions. The author uses approximate geometric Brownian motion under the discrete --time arithmetic average Asian option price, and then works out the first order moment and second moment, and to find the limit. The results are equal to the first moment and the second moment of the continuous--time arithmetic average Asian options.