本文選題：集裝箱運(yùn)輸　切入點(diǎn)：運(yùn)費(fèi)衍生品　出處：《大連海事大學(xué)》2012年碩士論文

【摘要】：自2008年金融危機(jī)以來(lái),以集裝箱運(yùn)輸市場(chǎng)為代表的航運(yùn)市場(chǎng)運(yùn)價(jià)波動(dòng)明顯加劇,包括中國(guó)航運(yùn)企業(yè)在內(nèi)的航運(yùn)經(jīng)營(yíng)者所面臨的風(fēng)險(xiǎn)也在不斷增加。在這種情況下,作為風(fēng)險(xiǎn)管理工具的運(yùn)費(fèi)衍生品被引入到了航運(yùn)市場(chǎng)當(dāng)中,目前在干散貨和油輪運(yùn)輸市場(chǎng),運(yùn)費(fèi)衍生品的發(fā)展已經(jīng)形成規(guī)模,但是在集裝箱運(yùn)輸市場(chǎng),運(yùn)費(fèi)衍生品的發(fā)展剛剛起步。運(yùn)費(fèi)期權(quán)由于其較高的保值效益和投機(jī)效益,備受航運(yùn)經(jīng)營(yíng)者的追捧,但目前在集裝箱運(yùn)費(fèi)衍生品市場(chǎng)中只有期貨類(lèi)產(chǎn)品,所以說(shuō)適時(shí)的推出集裝箱運(yùn)費(fèi)期權(quán)產(chǎn)品,可以為集裝箱運(yùn)輸經(jīng)營(yíng)者們提供更有效的套期保值工具。 期權(quán)定價(jià)是期權(quán)交易的核心部分,由于運(yùn)費(fèi)期權(quán)是一種新生的期權(quán)種類(lèi),有關(guān)其定價(jià)的研究文獻(xiàn)還比較少,目前研究運(yùn)費(fèi)期權(quán)定價(jià)的文獻(xiàn)大都是以經(jīng)典的期權(quán)定價(jià)模型B-S模型為基礎(chǔ)的。由于本文所研究的集裝箱運(yùn)費(fèi)期權(quán)是一種算術(shù)平均的亞式期權(quán),該類(lèi)期權(quán)在經(jīng)典期權(quán)定價(jià)模型B-S模型中得不到顯性表達(dá)式,因此本文將集裝箱運(yùn)費(fèi)期權(quán)轉(zhuǎn)化成為一種特殊形式的歐式期權(quán),并結(jié)合其標(biāo)的合約即集裝箱運(yùn)費(fèi)期貨合約的波動(dòng)特點(diǎn)給出了集裝箱運(yùn)費(fèi)期權(quán)的定價(jià)模型。由于運(yùn)費(fèi)的波動(dòng)率在運(yùn)費(fèi)期權(quán)定價(jià)中非常重要,所以本文專(zhuān)門(mén)給出了運(yùn)費(fèi)波動(dòng)率的估算模型。并且以上海到美西和上海到歐洲航線為例給出了波動(dòng)率估算和期權(quán)定價(jià)的實(shí)例分析。 在本文的研究中,作者詳細(xì)的介紹了集裝箱運(yùn)費(fèi)衍生品市場(chǎng)的發(fā)展現(xiàn)狀、功能和交易成員的分類(lèi),并且對(duì)集裝箱運(yùn)費(fèi)期權(quán)的市場(chǎng)進(jìn)行了構(gòu)建。為了詳細(xì)的說(shuō)明運(yùn)費(fèi)期權(quán)的套期保值效益,本文分別從班輪公司和貨主公司的角度進(jìn)行了實(shí)例分析,利用實(shí)例對(duì)集裝箱運(yùn)費(fèi)期權(quán)套期保值的效果進(jìn)行了分析。
[Abstract]:Since the 2008 financial crisis, the shipping market freight fluctuation in container transportation market represented significantly increased risk China including shipping enterprises, shipping operators are also increasing. In this case, as a risk management tool of the freight derivatives is introduced to the shipping market, dry bulk and tanker market at present in the development of freight derivatives has already formed the scale, but in the container transportation market, the development of freight derivatives has just started. The freight option due to its high efficiency in hedging and speculative benefit, shipping operators sought after, but now in container freight derivatives market only futures products, so that the timely launch of container freight options can provide more effective hedging tool for container transport operators.
Option pricing is the core part of options trading, because the freight option option is a new type of research literature about its pricing is still relatively small, the current research on freight option pricing literature are mostly based on option pricing model based on the classical B-S model. Because the container freight options is an Asian option arithmetic average, this kind of options do not have explicit expression in the classic option pricing model in the B-S model, so the container freight options into the European option in a special form, and combined with the underlying contract that gives the container freight fluctuation characteristics of futures contract pricing model of container freight options. Because the rate of very important in the freight option pricing fluctuation, so this paper specially gives the estimation model of freight volatility. And from Shanghai to Shanghai and west to Europe Example analysis of volatility estimation and option pricing is given as an example of the continent route.
In this paper, the author introduced the development status of container freight derivatives market, the classification function and the members of the market, and the container freight options market. In order to construct the hedging benefits that freight options in detail, this paper makes a case analysis of shipping companies and shippers separately from the company's point of view, the use of an effect of the container freight options hedging is analyzed.

【學(xué)位授予單位】：大連海事大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F550.5;F224

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