Title :
A Jump-Diffusion Model of Shipping Freight Rate
Author :
Li Xuyin ; Gu Xianbin
Author_Institution :
Sch. of Econ. & Manage., Shanghai Maritime Univ., Shanghai, China
Abstract :
To draw a model that can describe shipping freight rate fluctuation precisely has never been so important since the ship investment evaluated under the framework of real options. We set a general double exponential jump-diffusion model, which generates a leptokurtic distribution. Compared with geometric Brownian motion model, the general double exponential jump diffusion model is more appropriately in matching the key features of shipping freight rate returns.
Keywords :
freight handling; goods distribution; investment; pricing; statistical distributions; double exponential jump-diffusion model; leptokurtic distribution; ship investment; shipping freight rate; Conference management; Engineering management; Exponential distribution; Fluctuations; Information technology; Investments; Probability distribution; Solid modeling; Stochastic processes; Technology management; Cramer-Von Mises criterion; MCMC; double exponetial jump diffusion; geometric Brownian motion; shipping freight rate;
Conference_Titel :
Future Information Technology and Management Engineering, 2009. FITME '09. Second International Conference on
Conference_Location :
Sanya
Print_ISBN :
978-1-4244-5339-9
DOI :
10.1109/FITME.2009.83
