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標題: Valuation of freight transportation contracts under uncertainty
作者: Tsai, Mei-Ting;Saphores, Jean-Daniel;Regan, Amelia
Contributors: 國立中興大學企業管理學系
National Chung Hsing University,Department of Business Administration
Miao-zhen Luo
關鍵字: Truckload contract;Option pricing;Ornstein-Uhlenbeck process;Uncertainty;Derivatives;Spot market
日期: 2011-11
Issue Date: 2012-10-19 11:00:06 (UTC+8)
Publisher: Elsevier Ltd.
摘要: This paper applies concepts from the theory of Real Options to hedge uncertainty in trans- 26 portation capacity and cost using derivative contracts, called truckload options. We make 27 three contributions. First, we provide a closed-form pricing formula for basic truckload 28 options when the truckload spot price on a given lane follows a simple mean-reverting pro- 29 cess. Second, since only monthly statistics about truckload spot prices are currently avail- 30 able, we provide an approach to estimate the parameters needed to value truckload 31 options. Finally, a numerical illustration based on real data shows that truckload options 32 could be valuable to both shippers and carriers.
Relation: Transportation Research Part E, Volume 47, Issue 6, Page(s) 920-932.
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