Including Jumps in the Stochastic Valuation of Freight Derivatives
The spot freight rate processes considered in the literature for pricing forward freight agreements (FFA) and freight options usually have a particular dynamics in order to obtain the prices. In those cases, the FFA prices are explicitly obtained. However, for jump-diffusion models, an exact solutio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-01-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/2/154 |