Valuation of Lease Contracts with a Price Adjustment Option: An Application to the Maritime Transport Industry

References

• Adland, R.O. (2000) A non-parametric model of the time charter equivalent spot freight rate in the very large crude oil carrier market. Working paper, Norwegian School of Economics and Business Administration, Massachustts Institue of Technology.
   Google Scholar
• Adland, R.O. (2003). The stochastic behavior of spot freight rates and the risk premium in bulk shipping. . Ph.D. thesis, Massachusetts Institute of Technology, Department of Ocean Engineering, Cambridge, MA.
   Google Scholar
• Adland, R.O. and Cullinane, K. (2006) The non-linear dynamics of spot freight rates in tanker markets. Transportation Research Part E: Logistics and Transportation Review, 42(3), 211–224.
   Web of Science ®Google Scholar
• Adland, R.O. and Jia, H. (2008) Charter market default risk: a conceptual approach. Transportation Research Part E: Logistics and Transportation Review, 44(1), 152–163.
   Web of Science ®Google Scholar
• Adland, R.O. and Strandenes, S.P. (2007) A discrete-time stochastic partial equilibrium model of the spot freight market. Journal of Transport Economics and Policy (JTEP), 41(2), 189–218.
   Google Scholar
• Albertijn, S.Bessler, W.Drobetz, W. (2011) Financing shipping companies and shipping operations: a risk-management perspective. Journal of Applied Corporate Finance, 23(4), 70–82.
   Google Scholar
• Alesii, G. (2005) VaR in real options analysis. Review of Financial Economics, 14(3–4), 189–208.
   Google Scholar
• Alizadeh, A.H. (2013) Trading volume and volatility in the shipping forward freight market. Transportation Research Part E: Logistics and Transportation Review, 49(1), 250–265.
   Web of Science ®Google Scholar
• Alizadeh, A.H. and Nomikos, N.K. (2009) Shipping derivatives and risk management. Palgrave Macmillan. , New York.
   Google Scholar
• Alizadeh, A.H. and Nomikos, N.K. (2011) Dynamics of the term structure and volatility of shipping freight rates. Journal of Transport Economics and Policy (JTEP), 45(1), 105–128.
   Google Scholar
• Andersen, A. (1992) Valuation of shipping options. . Working paper 14, Foundation for Research in Economics and Business administration (SNF), Bergen, Norway.
   Google Scholar
• Angelidis, T. and Skiadopoulos, G. (2008) Measuring the market risk of freight rates: a value-at-risk approach. International Journal of Theoretical and Applied Finance, 11(5), 447–469.
   Google Scholar
• Beenstock, M. and Vergottis, A. (1989) An econometric model of the world tanker market. Journal of Transport Economics and Policy, 23(3), 263–280.
   Web of Science ®Google Scholar
• Bellalah, M. (2002) Valuing lease contracts under incomplete information: a real options approach. The Engineering Economist, 47(2), 194–212.
   Google Scholar
• Bjerksund, P. and Steinar, E. (1995) Contingent claims evaluation of mean-reverting cash flows in shipping. In Real options in capital investment: models, strategies, and applications. L. Trigeorgis, editor. Praeger, New York.
   Google Scholar
• Clarksons.(2013) Clarksons’ shipping intelligence network. . Available at http://www.clarksons.net (accessed 14 March 2013).
   Google Scholar
• Dinwoodie, J. and Morris, J. (2003) Tanker forward freight agreements: the future for freight futures? Maritime Policy & Management, 30(1), 45–58.
   Google Scholar
• Dixit, A.K. and Pindyck, R.S. (1994) Investment under uncertainty. Princeton University Press, Princeton, NJ.
   Google Scholar
• Engelen, S.Dullaert, W.Vernimmen, B. (2007) Multi-agent adaptive systems in dry bulk shipping. Transportation Planning and Technology, 30(4), 377–389.
   Web of Science ®Google Scholar
• Geman, H. (2005). Commodities and commodity derivatives: modeling and pricing for agriculturals, metals and energy. John Wiley & Sons Ltd, Chichester, UK.
   Google Scholar
• Geman, H. (2009) Risk management in commodity markets: from shipping to agriculturals and energy. John Wiley & Sons Ltd., Chichester, UK.
   Google Scholar
• Hopp, C. and Tsolakis, S.D. (2004) Investment applications in the shipping industry. . Working paper, University of Konstanz, Konstanz, Germany, and Center of Maritime Economics and Logistics, Erasmus University, Rotterdam, The Netherlands.
   Google Scholar
• Hull, J. (2011). Options, futures, and other derivatives, 8th ed., Prentice Hall, Upper Saddle River, NJ.
   Google Scholar
• Jing, L.Marlow, P.B.Hui, W. (2008) An analysis of freight rate volatility in dry bulk shipping markets. Maritime Policy & Management, 35(3), 237–251.
   Google Scholar
• Jørgensen, P.L. and De Giovanni, D. (2010) Time charters with purchase options in shipping: valuation and risk management. Applied Mathematical Finance, 17(5), 399–430.
   Google Scholar
• Kavussanos, M.G. (1996) Comparisons of volatility in the dry-cargo ship sector: spot versus time charters, and smaller versus larger vessels. Journal of Transport Economics and Policy, 30(1), 67–92.
   Web of Science ®Google Scholar
• Kavussanos, M.G. (2002) Business risk measurement and management in the cargo carrying sector of the shipping industry. In Grammenos, C.T. (Ed.), The handbook of maritime economics and business. Lloyd’s of London Press, London.
   Google Scholar
• Kavussanos, M.G. and Alizadeh-M, A.H. (2001) Seasonality patterns in dry bulk shipping spot and time charter freight rates. Transportation Research Part E: Logistics and Transportation Review, 37(6), 443–467.
   Web of Science ®Google Scholar
• Kavussanos, M.G. and Nomikos, N.K. (2000) Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market. Transportation Research Part E: Logistics and Transportation Review, 36(4), 229–248.
   Web of Science ®Google Scholar
• Kavussanos, M.G. and Visvikis, I.D. (2006) Shipping freight derivatives: a survey of recent evidence. Maritime Policy & Management, 33(3), 233–255.
   Google Scholar
• Kavussanos, M.G.Visvikis, I.Goulielmou, M. (2007An investigation of the use of risk management and shipping derivatives - The case of GreeceInternational Journal of Transport Economics, 34(1), 49–68.
   Web of Science ®Google Scholar
• Kenyon, C. and Tompaidis, S. (2001) Real options in leasing: the effect of idle time. Operations Research, 49(5), 675–689.
   Web of Science ®Google Scholar
• Kodukula, P. and Papudesu, C. (2006) Project valuation using real options: a practitioner’s guide. J. Ross Publishing, Fort Lauderdale, FL.
   Google Scholar
• Koopmans, T.C. (1939) Tanker freight rates and tank ship building. De Erven F. Bohn, Haarlem, The Netherlands.
   Google Scholar
• Li, Y. (2006) The pros and cons of leasing in ship financing. WMU Journal of Maritime Affairs, 5(1), 61–74.
   Google Scholar
• McConnell, J.J. and Schallheim, J.S. (1983) Valuation of asset leasing contracts. Journal of Financial Economics, 12(2), 237–261.
   Web of Science ®Google Scholar
• Norman, V.D. and Wergeland, T. (1981) Nortank—a simulation model of the freight market for large tankers. . Report 4/81, Centre for Applied Research, Norwegian School of Economics and Business Administration, Bergen, Norway.
   Google Scholar
• Rygaard, J.M. (2009) Valuation of time charter contracts for ships. Maritime Policy & Management, 36(6), 525–544.
   Web of Science ®Google Scholar
• Sødal, S.Koekebakker, S.Aadland, R. (2008) Market switching in shipping—a real option model applied to the valuation of combination carriers. Review of Financial Economics, 17(3), 183–203.
   Google Scholar
• Sødal, S.Koekebakker, S.Adland, R. (2009) Value based trading of real assets in shipping under stochastic freight rates. Applied Economics, 41(22), 2793–2807.
   Web of Science ®Google Scholar
• Staton, R. (1997) A nonparametric model of term structure dynamics and the market price of interest rate. The Journal of Finance, 52(2), 1973–2002.
   Google Scholar
• Strandenes, S.P. (2012) Maritime freight markets. . In Talley, W. K. (Ed.),The Blackwell companion to maritime economics. Wiley-Blackwell, Malden, MA.
   Google Scholar
• Stray, B. (1992) Option valuation of securities in the market for very large crude carriers. . Working paper 13, Foundation for Research in Economics and Business Administration (SNF), Bergen, Norway.
   Google Scholar
• Tezuka, K.Ishii, M. and Ishizaka, M. (2012) An equilibrium price model of spot and forward shipping freight markets. Transportation Research Part E: Logistics and Transportation Review, 48(4), 730–742.
   Web of Science ®Google Scholar
• Tibben-Lembke, R.S. and Rogers, D.S. (2006) Real options: applications to logistics and transportation. International Journal of Physical Distribution & Logistics Management, 36(4), 252–270.
   Google Scholar
• Trigeorgis, L. (1996) Evaluating leases with complex operating options. European Journal of Operational Research, 91(2), 315–329.
   Web of Science ®Google Scholar
• Tsai, M.T.Saphores, J.D.Regan, A. (2011) Valuation of freight transportation contracts under uncertainty. Transportation Research Part E: Logistics and Transportation Review, 47(6), 920–932.
   Web of Science ®Google Scholar
• Tvedt, J. (1997) Valuation of vlccs under income uncertainty. Maritime Policy and Management, 24(2), 159–174.
   Google Scholar
• Tvedt, J. (1998) Valuation of a european futures option in the BIFFEX market. Journal of Futures Markets, 18(2), 167–175.
   Web of Science ®Google Scholar
• Vasicek, O. (1977) An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177–188.
   Web of Science ®Google Scholar
• Vetzal, K.R. (1998) An improved finite difference approach to fitting the initial term structure. The Journal of Fixed Income, 7(4), 62–81.
   Google Scholar
• Xu, J.J.Yip, T.L.Marlow, P.B. (2011) The dynamics between freight volatility and fleet size growth in dry bulk shipping markets. Transportation Research Part E: Logistics and Transportation Review, 47(6), 983–991.
   Web of Science ®Google Scholar
• Zannetos, Z.S. (1966) The theory of oil tankship rates: an economic analysis of tankship operations. MIT Press, Cambridge, MA.
   Google Scholar