Estimating risk‐neutral freight rate dynamics: A nonparametric approach
提出一种从远期运费协议价格中估计风险中性即期运费率漂移的非参数方法，通过数值模拟验证稳健性，并利用波罗的海交易所数据实证发现该方法定价误差最小，同时估计了风险的市场价格。
Abstract We present a new method for estimating the unobservable drift of the risk‐neutral spot freight rate process from Forward Freight Agreements (FFA) prices in the absence of a closed‐form solution and demonstrate robustness via numerical simulations. Moreover, we conduct empirical experiments involving estimation of standard parametric models and a nonparametric model using Baltic Exchange data. We find that our nonparametric approach yields the lowest FFA pricing errors across maturities. Finally, we estimate the market price of risk, analyze its behavior in‐sample and out‐of‐sample and observe that, when estimated using our nonparametric approach, it evolves consistently with the indices under study.