本文選題：集裝箱運輸　切入點：運費衍生品　出處：《大連海事大學》2012年碩士論文

【摘要】：自2008年金融危機以來,以集裝箱運輸市場為代表的航運市場運價波動明顯加劇,包括中國航運企業(yè)在內(nèi)的航運經(jīng)營者所面臨的風險也在不斷增加。在這種情況下,作為風險管理工具的運費衍生品被引入到了航運市場當中,目前在干散貨和油輪運輸市場,運費衍生品的發(fā)展已經(jīng)形成規(guī)模,但是在集裝箱運輸市場,運費衍生品的發(fā)展剛剛起步。運費期權(quán)由于其較高的保值效益和投機效益,備受航運經(jīng)營者的追捧,但目前在集裝箱運費衍生品市場中只有期貨類產(chǎn)品,所以說適時的推出集裝箱運費期權(quán)產(chǎn)品,可以為集裝箱運輸經(jīng)營者們提供更有效的套期保值工具。 期權(quán)定價是期權(quán)交易的核心部分,由于運費期權(quán)是一種新生的期權(quán)種類,有關(guān)其定價的研究文獻還比較少,目前研究運費期權(quán)定價的文獻大都是以經(jīng)典的期權(quán)定價模型B-S模型為基礎(chǔ)的。由于本文所研究的集裝箱運費期權(quán)是一種算術(shù)平均的亞式期權(quán),該類期權(quán)在經(jīng)典期權(quán)定價模型B-S模型中得不到顯性表達式,因此本文將集裝箱運費期權(quán)轉(zhuǎn)化成為一種特殊形式的歐式期權(quán),并結(jié)合其標的合約即集裝箱運費期貨合約的波動特點給出了集裝箱運費期權(quán)的定價模型。由于運費的波動率在運費期權(quán)定價中非常重要,所以本文專門給出了運費波動率的估算模型。并且以上海到美西和上海到歐洲航線為例給出了波動率估算和期權(quán)定價的實例分析。 在本文的研究中,作者詳細的介紹了集裝箱運費衍生品市場的發(fā)展現(xiàn)狀、功能和交易成員的分類,并且對集裝箱運費期權(quán)的市場進行了構(gòu)建。為了詳細的說明運費期權(quán)的套期保值效益,本文分別從班輪公司和貨主公司的角度進行了實例分析,利用實例對集裝箱運費期權(quán)套期保值的效果進行了分析。
[Abstract]:Since the 2008 financial crisis, the shipping market freight fluctuation in container transportation market represented significantly increased risk China including shipping enterprises, shipping operators are also increasing. In this case, as a risk management tool of the freight derivatives is introduced to the shipping market, dry bulk and tanker market at present in the development of freight derivatives has already formed the scale, but in the container transportation market, the development of freight derivatives has just started. The freight option due to its high efficiency in hedging and speculative benefit, shipping operators sought after, but now in container freight derivatives market only futures products, so that the timely launch of container freight options can provide more effective hedging tool for container transport operators.
Option pricing is the core part of options trading, because the freight option option is a new type of research literature about its pricing is still relatively small, the current research on freight option pricing literature are mostly based on option pricing model based on the classical B-S model. Because the container freight options is an Asian option arithmetic average, this kind of options do not have explicit expression in the classic option pricing model in the B-S model, so the container freight options into the European option in a special form, and combined with the underlying contract that gives the container freight fluctuation characteristics of futures contract pricing model of container freight options. Because the rate of very important in the freight option pricing fluctuation, so this paper specially gives the estimation model of freight volatility. And from Shanghai to Shanghai and west to Europe Example analysis of volatility estimation and option pricing is given as an example of the continent route.
In this paper, the author introduced the development status of container freight derivatives market, the classification function and the members of the market, and the container freight options market. In order to construct the hedging benefits that freight options in detail, this paper makes a case analysis of shipping companies and shippers separately from the company's point of view, the use of an effect of the container freight options hedging is analyzed.

【學位授予單位】：大連海事大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F550.5;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 丁渤海;;淺談做市商制度在中國證券市場的建構(gòu)[J];法制與社會;2011年05期

2 陳蓉;鄭振龍;;期貨價格能否預測未來的現(xiàn)貨價格?[J];國際金融研究;2007年09期

3 李洪孝;;航運期權(quán)在運費市場中的應(yīng)用[J];集裝箱化;2009年01期

4 桂雨;;基于風險價值法的上海出口集裝箱運價指數(shù)衍生品風險測度[J];集裝箱化;2011年09期

5 孟昭陽;;集裝箱運價衍生品的發(fā)展分析[J];世界海運;2010年07期

6 曹蕾;;出口集裝箱運價中遠期交易分析[J];世界海運;2011年11期

7 趙勇;鄒小宇;;對認股權(quán)證定價的理論探討——基于期權(quán)定價的Black-Scholes模型[J];西南金融;2009年04期

8 袁象;;我國開展集裝箱運價指數(shù)期貨的可行性分析[J];商場現(xiàn)代化;2009年11期

9 蔣東青;閆慧;陳金海;;我國集裝箱運價指數(shù)期貨合約設(shè)計[J];水運管理;2011年04期

10 閔捷;;國際集裝箱運輸市場的現(xiàn)狀、趨勢及對策[J];中國造船;2007年01期

，

本文編號：1668909