Two New Strategies for Pricing Freight Options by Means of a Valuation PDE and by Functional Bounds

Freight derivative prices have been modeled assuming that the spot freight follows a particular stochastic process in order to manage them, like freight futures, forwards and options. However, an explicit formula for pricing freight options is not known, not even for simple spot freight processes. T...

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Bibliographic Details
Main Authors: Lourdes Gómez-Valle, Miguel Angel López-Marcos, Julia Martínez-Rodríguez
Format: Article
Language:English
Published: MDPI AG 2020-04-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/8/4/620