Valuation on European Call Options in Time Charter for Ships
High risks in shipping industry have resulted in a new application of options in shipping area and the behavior of call options emdedded in time charter for ships -i.e. the time charter that the shipowner and charterer have agreed says the charterer owns the right to buy the ship at the specified time and at the specified price — is such an application. According to the distinguishing features of time charter for ships, we have amended the “Black-and-Scholes model and worked out the suitable valuation method for the research in this paper. Then we work out the results of valuation on European call options in time charter through numerical analysis using the amended model. This research can provide some theoretical basis for the risk averse in shipping industry.
European options “ Black-and-Scholesmodel valuation time charters shipping
Ming Zhong Chen Fang
Department of Transportation Planning and Management Dalian Maritime University Dalian China
国际会议
成都
英文
279-282
2010-07-07（万方平台首次上网日期，不代表论文的发表时间）