油轮市场亚式期权定价和操作策略研究
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摘要
企业是以盈利为目的的组织,航运企业也不例外。航运企业的运费收入就是公司的利润来源。国际航运市场,是一个波动非常剧烈的市场。在2008年里短短的几个月里,波罗的海航运指数就从一万多点跌倒了几百点,跌掉了95%。价格波动是如此之剧烈是每一个企业都无法忍受的。中国作为全球主要原材料消费国和进口国,常常受到国际航运价格大幅波动影响,进口商们苦恼不已。尤其是在油轮运输市场竞争激烈的情况下,运价波动非常大,企业有着强烈的避险需求。货主和航运公司亟需一个能提供动态管理运价波动风险的工具。
为此企业就要使用各种方法来规避这种风险,航运金融衍生产品就应用而生了。对这个工具熟练的掌握是我们航运企业使用它的前提,本文将对航运衍生产品的一种-----运费期权的定价和操作策略进行了一定的研究。
我国航运企业要得到长久,持续,稳定的发展,就需要航运企业在航运业的整条产业链上建立自己的优势。造船,租船,船舶管理,公司治理,运费收入；对现在,对未来的管理。公司需要一个全方位,立体式的管理,每一个环节都非常重要。本文这里重点关注的是航运企业的运费收入,保证航运企业运费收入,使企业获得稳定的现金流。现金就是企业的血液,现金流的断裂意味着企业的破产。稳定的现金流对一个企业是如此之重要,使我们不得不对它特别的关注。
本文是在分析一般金融市场对亚式期权定价模型的基础上结合航运市场特点,对航运市场运费期权的定价进行研究,将金融市场上Levy逼近分析期权定价模型在航运运费期权定价上的应用,并在此基础上提出在油运市场上运费期权的操作策略。
为了说明运费期权及其定价公式在航运市场中的应用,本文在Levy模型基础上结合奥斯陆国际海运交易所推出的交易类型给出了分别基于船东和货主构建的套期保值案例。
最后,本文分析了航运市场各方参与者的情况,分析我国航运市场的状况,认为我国应该在以套期保值为目的的情况下,积极参与到航运衍生品市场中来。以规避实物市场中的风险,并且在使用过程得到学习和锻炼,以提升我国航运界整体水平的发展。
Enterprises are profit-oriented organizations, shipping companies are no exception. Shipping company income is the source of the company's profits. International shipping market, is a very dramatic fluctuations. In 2008, in just a few months, the Baltic shipping index fell from more than 10,000 points to a few hundred points, fallen by 95%. Price volatility is so intense that every company can not be tolerated. China as the world's leading consumer and importer of raw materials, are often subject to international fluctuations of shipping prices. Especially in the tanker transport market, freight price volatility is very large, companies have a strong hedging demand. Cargo owner and shipping companies need to provide a dynamic management tool for avoiding fluctuations.
To do this we will use various methods to avoid this risk and the financial derivatives in the shipping market birth. Skilled master of this tool is the premise of the shipping companies to use it. this paper will introduce freight options and its pricing and operating strategies.
If our shipping companies want to obtain long-term, sustained, stable development, they must establish their own advantages on the whole industry chain in the shipping industry Shipbuilding, ship chartering, ship management, corporate governance, freight revenue; now and the future management. Companies need a comprehensive, three-dimensional management, every step is very important. Our focus here is freight revenue of the shipping companies, ensuring their income and a stable cash flow. Cash is the business of blood, the cash flow break means bankruptcy. Steady cash flow for an enterprise is so important that we must make a special attention to it.
This paper is to price the freight options in shipping market based on analysis the general financial markets for Asian option pricing model. We introduce the Levy approximation of option pricing models option pricing in the financial markets into the maritime freight options market. And we will introduce the operations strategy of freight options in the oil transport market,.
To illustrate the freight option pricing formula and its application in the shipping market, we gives hedge case on the point of shipping owners and cargo owners on the basis of Levy model in combination Oslo Stock Exchange launched trading of international maritime type.
Finally, we analysis all the shipping market participants and the situation of China's shipping company facing. We think that our aim should be to hedge and actively participate in the shipping derivatives markets. We can learn and train our skills, and enhance the overall level of China's shopping industry development.
为此企业就要使用各种方法来规避这种风险,航运金融衍生产品就应用而生了。对这个工具熟练的掌握是我们航运企业使用它的前提,本文将对航运衍生产品的一种-----运费期权的定价和操作策略进行了一定的研究。
我国航运企业要得到长久,持续,稳定的发展,就需要航运企业在航运业的整条产业链上建立自己的优势。造船,租船,船舶管理,公司治理,运费收入；对现在,对未来的管理。公司需要一个全方位,立体式的管理,每一个环节都非常重要。本文这里重点关注的是航运企业的运费收入,保证航运企业运费收入,使企业获得稳定的现金流。现金就是企业的血液,现金流的断裂意味着企业的破产。稳定的现金流对一个企业是如此之重要,使我们不得不对它特别的关注。
本文是在分析一般金融市场对亚式期权定价模型的基础上结合航运市场特点,对航运市场运费期权的定价进行研究,将金融市场上Levy逼近分析期权定价模型在航运运费期权定价上的应用,并在此基础上提出在油运市场上运费期权的操作策略。
为了说明运费期权及其定价公式在航运市场中的应用,本文在Levy模型基础上结合奥斯陆国际海运交易所推出的交易类型给出了分别基于船东和货主构建的套期保值案例。
最后,本文分析了航运市场各方参与者的情况,分析我国航运市场的状况,认为我国应该在以套期保值为目的的情况下,积极参与到航运衍生品市场中来。以规避实物市场中的风险,并且在使用过程得到学习和锻炼,以提升我国航运界整体水平的发展。
Enterprises are profit-oriented organizations, shipping companies are no exception. Shipping company income is the source of the company's profits. International shipping market, is a very dramatic fluctuations. In 2008, in just a few months, the Baltic shipping index fell from more than 10,000 points to a few hundred points, fallen by 95%. Price volatility is so intense that every company can not be tolerated. China as the world's leading consumer and importer of raw materials, are often subject to international fluctuations of shipping prices. Especially in the tanker transport market, freight price volatility is very large, companies have a strong hedging demand. Cargo owner and shipping companies need to provide a dynamic management tool for avoiding fluctuations.
To do this we will use various methods to avoid this risk and the financial derivatives in the shipping market birth. Skilled master of this tool is the premise of the shipping companies to use it. this paper will introduce freight options and its pricing and operating strategies.
If our shipping companies want to obtain long-term, sustained, stable development, they must establish their own advantages on the whole industry chain in the shipping industry Shipbuilding, ship chartering, ship management, corporate governance, freight revenue; now and the future management. Companies need a comprehensive, three-dimensional management, every step is very important. Our focus here is freight revenue of the shipping companies, ensuring their income and a stable cash flow. Cash is the business of blood, the cash flow break means bankruptcy. Steady cash flow for an enterprise is so important that we must make a special attention to it.
This paper is to price the freight options in shipping market based on analysis the general financial markets for Asian option pricing model. We introduce the Levy approximation of option pricing models option pricing in the financial markets into the maritime freight options market. And we will introduce the operations strategy of freight options in the oil transport market,.
To illustrate the freight option pricing formula and its application in the shipping market, we gives hedge case on the point of shipping owners and cargo owners on the basis of Levy model in combination Oslo Stock Exchange launched trading of international maritime type.
Finally, we analysis all the shipping market participants and the situation of China's shipping company facing. We think that our aim should be to hedge and actively participate in the shipping derivatives markets. We can learn and train our skills, and enhance the overall level of China's shopping industry development.
引文
[1]Alizadeh.Nikos. Nomikos. shipping derivatives and risk management.palgrave macmillan. 2009:217-218.
[2]Kuan-Wen Chen, Yuh-Dauh Lyuu. accurate pricing formulas for asian options.applied mathematics and computation 188,2007:1711-1724.
[3]黄学军.运费风险管理--运费衍生品发展的启示.上海交通大学安泰经济与管理学院.
[4]Alizadeh.Nikos. Nomikos. shipping derivatives and risk management.palgrave macmillan, 2009:226-227.
[5]www.exchange.imarex.com
[6]姜礼尚.期权定价的数学模拟和方法.高等教育出版社,2003：277-278.
[7]刘俊奇.国际金融衍生市场—工具和应用.经济科技出版社.
[8]http://www.global-derivatives.com/index.php/pricing-models-topmenu-37/17?task=view
[9]Alizadeh. Nikos Nomikos. shipping derivatives and risk management. palgrave macmillan, 2009.
[10]Edmond Levy, pricing European average rate currency options, nomura bank international plc, nomura house,1 St Martin's-le-Grand, London EC1A 4NP,UK
[11]盛聚,谢式千,潘承毅.概率论语数理统计(第三版).高等教育出版社,2001：434—435.
[12]Alizadeh. Nikos Nomikos. shipping derivatives and risk management. palgrave macmillan,2009:269-270.
[13]Manolis G Kavussanos, Ilias D Visvikis. derivatives and risk management in shipping WITHERBYS,2006:231.
[14]Alizadeh. Nikos Nomikos. shipping derivatives and risk management, palgrave macmillan,2009:230.
[15]黄学军.海运风险管理创新：运费衍生品发展的启示.证券市场导报,2006年12月.
[16]聂皖生.期权.中国经济出版社,2006.
[18]爱德华奥姆斯特德.期权入门与精通.机械工业出版社,2005.
[19]Manolis G Kavussanos, Ilias D Visvikis. derivatives and risk management in shipping WITHERBYS.
[21]Jorgensen, Giovanni, Time charters with purchase options in shipping valuation and risk management,2009.
[22]Adland, Cullinane, the non-linear dynamics of spot freight rates in tanker markets,2004.
[23]郑小迎,陈金贤..关于亚式期权及其定价模型的研究. 交通工程,2005.
[24]岳妍, 基于二叉树模型亚式期权定价的研究.中南大学硕士论文,2007年11月.
[25]赵建忠.亚式期权定价的模拟方法研究.上海金融学院学报.
[26]Robert L. McDonald. Derivatives markets.2002.
[27]刘贲.干散货市场期权定价及应用.大连海事大学硕士论文,2005年3月.
[28]波罗的海航运交易所网站信息http://www.balticexchange.com/.
[29]白银.干散货航运市场期权定价及其应用研究.大连海事大学硕士论文,2008年9月.
[30]约翰C赫尔,期货期权入门,中国人民大学出版社,2001.
[31]吕靖.国际航运投资决策.人民交通出版社,1998年.
[32]王彦,吕靖.国际航运经济与市场.大连海事大学出版社,2002年3月.
[33]吕靖,张明,李玖晖.海运金融—船舶投资与融资.人民交通出版社,2001.
[34]陈家源.国际航运市场学.大连海事大学出版社,1995年.
[35]徐天芳,王长勇.国际航运经营管理.大连海事大学出版社,1998年.
[36]谢新连.船舶运输管理与经营.大连海事大学出版社, 1997年5月.
[37].赵刚.国际航运管理(M).北京：人民交通出版社,1999.
[38].吴长仲.航运管理(M).大连：大连海事大学出版社,1992.
[39]徐承龙,顾恩君.具有固定敲定价格的算术平均亚式期权的计算.应用数学与计算数学学报,2004,18(2)：132-134.
[40]金春红,陈德燕.期权定价模型的研究.沈阳：辽宁大学出版社,2003：39-42.
[41]陈其安,杨秀苔.期权定价逐次逼近算法构建和实现.重庆大学报,2006,18(2)：67-71.
[2]Kuan-Wen Chen, Yuh-Dauh Lyuu. accurate pricing formulas for asian options.applied mathematics and computation 188,2007:1711-1724.
[3]黄学军.运费风险管理--运费衍生品发展的启示.上海交通大学安泰经济与管理学院.
[4]Alizadeh.Nikos. Nomikos. shipping derivatives and risk management.palgrave macmillan, 2009:226-227.
[5]www.exchange.imarex.com
[6]姜礼尚.期权定价的数学模拟和方法.高等教育出版社,2003：277-278.
[7]刘俊奇.国际金融衍生市场—工具和应用.经济科技出版社.
[8]http://www.global-derivatives.com/index.php/pricing-models-topmenu-37/17?task=view
[9]Alizadeh. Nikos Nomikos. shipping derivatives and risk management. palgrave macmillan, 2009.
[10]Edmond Levy, pricing European average rate currency options, nomura bank international plc, nomura house,1 St Martin's-le-Grand, London EC1A 4NP,UK
[11]盛聚,谢式千,潘承毅.概率论语数理统计(第三版).高等教育出版社,2001：434—435.
[12]Alizadeh. Nikos Nomikos. shipping derivatives and risk management. palgrave macmillan,2009:269-270.
[13]Manolis G Kavussanos, Ilias D Visvikis. derivatives and risk management in shipping WITHERBYS,2006:231.
[14]Alizadeh. Nikos Nomikos. shipping derivatives and risk management, palgrave macmillan,2009:230.
[15]黄学军.海运风险管理创新：运费衍生品发展的启示.证券市场导报,2006年12月.
[16]聂皖生.期权.中国经济出版社,2006.
[18]爱德华奥姆斯特德.期权入门与精通.机械工业出版社,2005.
[19]Manolis G Kavussanos, Ilias D Visvikis. derivatives and risk management in shipping WITHERBYS.
[21]Jorgensen, Giovanni, Time charters with purchase options in shipping valuation and risk management,2009.
[22]Adland, Cullinane, the non-linear dynamics of spot freight rates in tanker markets,2004.
[23]郑小迎,陈金贤..关于亚式期权及其定价模型的研究. 交通工程,2005.
[24]岳妍, 基于二叉树模型亚式期权定价的研究.中南大学硕士论文,2007年11月.
[25]赵建忠.亚式期权定价的模拟方法研究.上海金融学院学报.
[26]Robert L. McDonald. Derivatives markets.2002.
[27]刘贲.干散货市场期权定价及应用.大连海事大学硕士论文,2005年3月.
[28]波罗的海航运交易所网站信息http://www.balticexchange.com/.
[29]白银.干散货航运市场期权定价及其应用研究.大连海事大学硕士论文,2008年9月.
[30]约翰C赫尔,期货期权入门,中国人民大学出版社,2001.
[31]吕靖.国际航运投资决策.人民交通出版社,1998年.
[32]王彦,吕靖.国际航运经济与市场.大连海事大学出版社,2002年3月.
[33]吕靖,张明,李玖晖.海运金融—船舶投资与融资.人民交通出版社,2001.
[34]陈家源.国际航运市场学.大连海事大学出版社,1995年.
[35]徐天芳,王长勇.国际航运经营管理.大连海事大学出版社,1998年.
[36]谢新连.船舶运输管理与经营.大连海事大学出版社, 1997年5月.
[37].赵刚.国际航运管理(M).北京：人民交通出版社,1999.
[38].吴长仲.航运管理(M).大连：大连海事大学出版社,1992.
[39]徐承龙,顾恩君.具有固定敲定价格的算术平均亚式期权的计算.应用数学与计算数学学报,2004,18(2)：132-134.
[40]金春红,陈德燕.期权定价模型的研究.沈阳：辽宁大学出版社,2003：39-42.
[41]陈其安,杨秀苔.期权定价逐次逼近算法构建和实现.重庆大学报,2006,18(2)：67-71.