Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 440-464 |
| Seitenumfang | 25 |
| Fachzeitschrift | Journal of Futures Markets |
| Jahrgang | 31 |
| Ausgabenummer | 5 |
| Publikationsstatus | Veröffentlicht - 1 Mai 2011 |
| Extern publiziert | Ja |
Abstract
In this article, we consider the pricing and hedging of single-route dry bulk freight futures contracts traded on the International Maritime Exchange. Thus far, this relatively young market has received almost no academic attention. In contrast to many other commodity markets, freight services are non-storable, making a simple cost-of-carry valuation impossible. We empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that the inclusion of a second stochastic factor significantly improves the pricing and hedging accuracy. Overall, the results indicate that the Schwartz and Smith (2000) two-factor model provides the best performance.
ASJC Scopus Sachgebiete
- Betriebswirtschaft, Management und Rechnungswesen (insg.)
- Bilanzierung
- Betriebswirtschaft, Management und Rechnungswesen (insg.)
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Volkswirtschaftslehre und Ökonometrie
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in: Journal of Futures Markets, Jahrgang 31, Nr. 5, 01.05.2011, S. 440-464.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Pricing and hedging in the freight futures market
AU - Prokopczuk, Marcel
PY - 2011/5/1
Y1 - 2011/5/1
N2 - In this article, we consider the pricing and hedging of single-route dry bulk freight futures contracts traded on the International Maritime Exchange. Thus far, this relatively young market has received almost no academic attention. In contrast to many other commodity markets, freight services are non-storable, making a simple cost-of-carry valuation impossible. We empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that the inclusion of a second stochastic factor significantly improves the pricing and hedging accuracy. Overall, the results indicate that the Schwartz and Smith (2000) two-factor model provides the best performance.
AB - In this article, we consider the pricing and hedging of single-route dry bulk freight futures contracts traded on the International Maritime Exchange. Thus far, this relatively young market has received almost no academic attention. In contrast to many other commodity markets, freight services are non-storable, making a simple cost-of-carry valuation impossible. We empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that the inclusion of a second stochastic factor significantly improves the pricing and hedging accuracy. Overall, the results indicate that the Schwartz and Smith (2000) two-factor model provides the best performance.
UR - http://www.scopus.com/inward/record.url?scp=79952044691&partnerID=8YFLogxK
U2 - 10.1002/fut.20480
DO - 10.1002/fut.20480
M3 - Article
AN - SCOPUS:79952044691
VL - 31
SP - 440
EP - 464
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 5
ER -