| 国际航运期租船定价和风险管理 |
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| 引用本文： | 李丹.国际航运期租船定价和风险管理[J].大连海事大学学报(社会科学版),2010,9(4):29-32,78. |
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| 作者姓名： | 李丹 |
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| 作者单位： | 上海海事大学,经济管理学院,上海,201306 |
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| 基金项目： | 教育部人文社科规划基金项目 |
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| 摘 要： | 期租船定价的主要问题是选择执行期权的最佳时点。在单因素运费模型基础上,通过嵌入期权的价值运费衍生工具定价模型,尝试将封闭式定价公式应用于简单的欧式期租船合约中以解决该问题,并通过实务案例分析其实施的可行性,以期对中国航运船舶租赁有所借鉴。
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| 关 键 词： | 期租船 期权 定价模型 风险管理 |
Time charter vessel pricing in international shipping and risk management |
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| LI Dan.Time charter vessel pricing in international shipping and risk management[J].Journal of Dalian Maritime University:Social Science Edition,2010,9(4):29-32,78. |
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| Authors: | LI Dan |
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| Institution: | LI Dan(School of Economics and Management,Shanghai Maritime Univ.,Shanghai 201306,China) |
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| Abstract: | The main problem of time charter vessel pricing is to choose the best point time of implementation options.The paper tried to apply a closed pricing formula to simple European time charter to solve the problem by a single factor freight model based on the value of freight obtained through the embedded derivative option pricing model.It studied the feasibility of its implementation by practical case and attempted to give a reference for China's ship leasing. |
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| Keywords: | time charter vessel option fixed price model risk management |
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