We develop an accurate valuation setup for freight options, featuring an exponential mean-reverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we...

This paper reproduces the performance of two international shipping stock indexes and two physical shipping indexes by investing only in stock portfolios that our algorithms determine. In our analysis, we use daily stock data and address the index-tracking problem with the differential evolution...