The Hedge and Valuation Performance of Freight Option Pricing Models

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Project title

Code/計畫編號

MOST103-2410-H019-005

Translated Name/計畫中文名

運價選擇權模型的定價績效與避險績效

Project Coordinator/計畫主持人

Heng-Chih Chou

Funding Organization/主管機關

National Science and Technology Council

Department/Unit

Department of Shipping and Transportation Management

Website

https://www.grb.gov.tw/search/planDetail?id=8315983

Year

2014

Start date/計畫起

01-08-2014

Expected Completion/計畫迄

31-07-2015

Bugetid/研究經費

446千元

ResearchField/研究領域

管理科學

"散裝航運業屬於景氣循環產業，運價的波動急漲急跌，船東必須面臨巨幅運價風險。運價選擇權(Freight Rate Options)有助於業者管理運價風險。然而避險績效深受避險參數(delta 值等)是否正確估計之影響。運價選擇權本質上屬於亞洲式選擇權，評價較為複雜。文獻中關於運價選擇權的研究相當少，近期較重要的是 Koekebakker et al. (2007) 運價選擇權評價模型，雖然僅是近似分析解，但仍廣為業界應用。近來文獻的發展有二。首先，Nomikos et al. (2013)指出以Merton(1976)的跳躍擴散模型 (Jump-diffusion)取代幾何布朗式運動時，可以提高運價選擇權的評價效率。其次，Hsiao et al. (2013)，Kavussanos (1996)，Jing et al. (2008)等研究指出運價指數報酬率的動態行程具有異質變異性(heteroskedasticity)與波動不對稱性，可以採用 NGARCH/EGARCH 模型來捕捉波動率行程。隨著文獻的發展，若在評價運價選擇權時考慮跳躍擴散，並加入 GARCH模型，應該有助與評價績效。因此，在這些文獻的發展基礎上，本計畫想分析以下幾個評價議題：（1）以Koekebakker et al. (2007)模型的定價表現是否優於Turnbull and Wakeman (1991) 的分析解與蒙地卡羅模擬？（2）將跳躍擴散模型取代布朗式運動時，Koekebakker et al. (2007)模型的評價績效是否更佳？（3）以NGARCH模型配適運價波動行程，Koekebakker et al. (2007)模型的評價結果是否更佳？（4）若同時考慮跳躍擴散模型與運價的異質變異性（納入NGARCH模型）， Koekebakker et al. (2007)模型的配適結果是否更佳？其次，本計畫參考 Ferreira et al. (2005)與 Yung and Zhang (2003) 分析 delta 避險的作法，評估運價選擇權的 delta 避險績效。本研究計畫的成果不僅有助於提升航運業的風險管理績效，也可彌補學術文獻在此一領域的缺乏。""The bulk shipping is a business with high risk, and especially it has to face freight risk. Freight options provide hedging tools for ship owners to manage freight risk. However, the hedging performance of options depends on the estimation efficiency of the Greeks, such as delta parameter. Freight options fall within the class of Asian options, and they are difficult to price. There are few studies regarding the pricing of freight options, and the pricing algorithm provided by Koekebakker et al. (2007) is the most important one, though it only provides an approximation of analytic solution. There are two important developments of freight options pricing algorithm. Firstly, Nomikos et al. (2013) shows that the jump-diffusion setting yields important model improvements over the lognormal setting with geometric Brownian motion. Secondly, Hsiao et al. (2013), Kavussanos (1996), and Jing et al. (2008) demonstrate that the price process of freight rate index is heteroskedastic and asymmetric, and NGARCH/EGARCH models can help catch its volatility process. Therefore, a pricing algorithm with NGARCH model or under jump-diffusion setting might increase their pricing performance. In other words, the study plans to analyze the following issues: (1) Is the pricing performance of Koekebakker et al. (2007) algorithm better than that of Turnbull and Wakeman (1991) analytic solution or Monte Carlo simulation, when they are applied to pricing freight options? (2) Can the jump-diffusion setting improve the pricing performance of Koekebakker et al. (2007) model over the lognormal setting? (3) Can NGARCH model increase the pricing performance of Koekebakker et al. (2007)? (4) Is the pricing performance of Koekebakker et al. (2007) with both NGARCH model and jump-diffusion setting superior to the basic setting? Meanwhile, based on the approach by Ferreira et al. (2005) and Yung and Zhang (2003), the study also evaluates the hedge performance of freight options. The results of the study will not only provide some valuable knowledge regarding the pricing algorithm of freight options, but also make up for the shortage of literature in this area."

Keyword(s)

運價選擇權
亞洲式選擇權
跳躍擴散模型
NGARCH
避險績效
Freight Options
Asian Options
Jump-Diffusion Model
NGARCH
Helge Performance

DSpace CRIS

The Hedge and Valuation Performance of Freight Option Pricing Models

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