کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986085 1480917 2008 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Market switching in shipping — A real option model applied to the valuation of combination carriers
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Market switching in shipping — A real option model applied to the valuation of combination carriers
چکیده انگلیسی

This paper derives a real options model of flexibility and applies it to shipping, valuing the option to switch between the dry bulk market and wet bulk market for a combination carrier, a ship type that is capable of operating in both markets but that has fallen out of favor due to high price tags. The model is a mean-reverting (Ornstein–Uhlenbeck) version of a standard entry–exit model with stochastic prices. A closed form solution for the value of flexibility is derived, expressed in terms of Kummer functions. The estimated value of flexibility is related to historical price differentials between combination carriers and oil tankers of comparable size. Based on numerical experiments it is concluded that new combination carriers may enter the market in the near future.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 17, Issue 3, August 2008, Pages 183–203
نویسندگان
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