EconPapers    
Economics at your fingertips  
 

Pricing and Hedging in the Freight Futures Market

Marcel Prokopczuk ()

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: In this article, we consider the pricing and hedging of single route dry bulk freight futures contracts traded on the International Maritime Exchange. Thus far, this relatively young market has received almost no academic attention. In contrast to many other commodity markets, freight services are non-storable, making a simple cost-of-carry valuation impossible. We empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that the inclusion of a second stochastic factor significantly improves the pricing and hedging accuracy. Overall, the results indicate that a non-stationary two-factor model provides the best performance.

Keywords: Freight Futures; Hedging; Shipping Derivatives; Imarex (search for similar items in EconPapers)
JEL-codes: C50 G13 Q40 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2010-04
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Pricing and hedging in the freight futures market (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rdg:icmadp:icma-dp2010-04

Access Statistics for this paper

More papers in ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading Contact information at EDIRC.
Bibliographic data for series maintained by Marie Pearson ().

 
Page updated 2021-10-18
Handle: RePEc:rdg:icmadp:icma-dp2010-04