集装箱航运市场期权定价问题及其应用研究

发布时间：2018-03-26 17:49

本文选题：集装箱运输　切入点：运费衍生品　出处：《大连海事大学》2012年硕士论文

【摘要】：自2008年金融危机以来,以集装箱运输市场为代表的航运市场运价波动明显加剧,包括中国航运企业在内的航运经营者所面临的风险也在不断增加。在这种情况下,作为风险管理工具的运费衍生品被引入到了航运市场当中,目前在干散货和油轮运输市场,运费衍生品的发展已经形成规模,但是在集装箱运输市场,运费衍生品的发展刚刚起步。运费期权由于其较高的保值效益和投机效益,备受航运经营者的追捧,但目前在集装箱运费衍生品市场中只有期货类产品,所以说适时的推出集装箱运费期权产品,可以为集装箱运输经营者们提供更有效的套期保值工具。期权定价是期权交易的核心部分,由于运费期权是一种新生的期权种类,有关其定价的研究文献还比较少,目前研究运费期权定价的文献大都是以经典的期权定价模型B-S模型为基础的。由于本文所研究的集装箱运费期权是一种算术平均的亚式期权,该类期权在经典期权定价模型B-S模型中得不到显性表达式,因此本文将集装箱运费期权转化成为一种特殊形式的欧式期权,并结合其标的合约即集装箱运费期货合约的波动特点给出了集装箱运费期权的定价模型。由于运费的波动率在运费期权定价中非常重要,所以本文专门给出了运费波动率的估算模型。并且以上海到美西和上海到欧洲航线为例给出了波动率估算和期权定价的实例分析。在本文的研究中,作者详细的介绍了集装箱运费衍生品市场的发展现状、功能和交易成员的分类,并且对集装箱运费期权的市场进行了构建。为了详细的说明运费期权的套期保值效益,本文分别从班轮公司和货主公司的角度进行了实例分析,利用实例对集装箱运费期权套期保值的效果进行了分析。
[Abstract]:Since the 2008 financial crisis, the shipping market freight fluctuation in container transportation market represented significantly increased risk China including shipping enterprises, shipping operators are also increasing. In this case, as a risk management tool of the freight derivatives is introduced to the shipping market, dry bulk and tanker market at present in the development of freight derivatives has already formed the scale, but in the container transportation market, the development of freight derivatives has just started. The freight option due to its high efficiency in hedging and speculative benefit, shipping operators sought after, but now in container freight derivatives market only futures products, so that the timely launch of container freight options can provide more effective hedging tool for container transport operators.
Option pricing is the core part of options trading, because the freight option option is a new type of research literature about its pricing is still relatively small, the current research on freight option pricing literature are mostly based on option pricing model based on the classical B-S model. Because the container freight options is an Asian option arithmetic average, this kind of options do not have explicit expression in the classic option pricing model in the B-S model, so the container freight options into the European option in a special form, and combined with the underlying contract that gives the container freight fluctuation characteristics of futures contract pricing model of container freight options. Because the rate of very important in the freight option pricing fluctuation, so this paper specially gives the estimation model of freight volatility. And from Shanghai to Shanghai and west to Europe Example analysis of volatility estimation and option pricing is given as an example of the continent route.
In this paper, the author introduced the development status of container freight derivatives market, the classification function and the members of the market, and the container freight options market. In order to construct the hedging benefits that freight options in detail, this paper makes a case analysis of shipping companies and shippers separately from the company's point of view, the use of an effect of the container freight options hedging is analyzed.

【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F550.5;F224

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