DocumentCode
3106232
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
fYear
2009
fDate
13-14 Dec. 2009
Firstpage
313
Lastpage
316
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/FITME.2009.83
Filename
5380989
Link To Document