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Valuation of Derivatives on the Cost Variables of the Shipping Market
Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Mytilene, Greece
- 1 Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Mytilene, Greece
Journal of Mathematical Finance·Volume 07 (2017)·Pages 513–518·Published 9 May 2017·DOI10.4236/jmf.2017.72027
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Abstract
In this paper, we present stochastic differential equations related to the cost variables of the shipping market. These SDEs arise under the addition of stochastic terms on the deterministic differential equations concerning the same variables. The financial interest arises from the fact that these SDEs may be used for the valuation of derivatives on these variables, such as futures, options, and others.
KeywordsTransport Costs Per Unit of Cargo TurnoverDeadweightOptimum Speed
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