Journal is indexed in following databases:



2023 Journal Impact Factor - 0.7
2023 CiteScore - 1.4



HomePage
 




 


 

ISSN 2083-6473
ISSN 2083-6481 (electronic version)
 

 

 

Editor-in-Chief

Associate Editor
Prof. Tomasz Neumann
 

Published by
TransNav, Faculty of Navigation
Gdynia Maritime University
3, John Paul II Avenue
81-345 Gdynia, POLAND
www http://www.transnav.eu
e-mail transnav@umg.edu.pl
Linear Regression Approach for the Financial Risks of Shipping Industry
1 Karadeniz Technical University, Trabzon, Turkey
ABSTRACT: The aim of this study is to propose a linear regression approach for Black & Scholes model that is used for call option and put option to derive pricing and risk management. In this study, the effects of share prices, exercise prices, volatility and interest rate on put options are observed in an interactive manner. Financial risks of maritime transportation are studied in order to provide a feasible solution for the threats in the global maritime economic system. In conclusion, the unclear behaviors of the Black & Scholes models are revealed by the linear regression model.
REFERENCES
Akalın, O. İ. 2006. Hisse senedi Üzerine Opsiyon Sözleşmeleri ve Türkiye Uygulaması, Yüksek Lisans Tezi, Marmara Üniversitesi, Bankacılık ve Sigortacılık Enstitüsü, İstanbul, 2006.
Alizadeh, A. H. and N. K. Nomikos. 2009. Shipping Derivatives and Risk Management. Faculty of Finance, Cass Business School, City University, London.
Alpan, F. 1999. Örneklerle Futures Anlaşmalar ve Opsiyonlar, 1. Baskı, Literatür Yayıncılık, İstanbul.
Demir, S. 2003. Sonlu Fark Modellerinin Opsiyon Sözleşmelerinin Fiyatlandırılmasında Kullanımı ve Diğer Sayısal Modeller ile Ampirik Bir Karşılaştırma, Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 4,1 102-115.
Easley, D., O’Hara, M. and Srinivas, P. S. 1998. Option Volume and Stock Prices, The Journal of Finance, 53,2,431-465.
Erol. S. and A. Dursun. 2015. Financial Risks and Hedging in Maritime Transportation. Dokuz Eylul University Maritime Faculty Journal, 7(2). 172-201.
Geske, R. 1979. The Valuation of Compound Options. Journal of Financial Economics, 7 (1). 63-81.
Gilleshammer, P. K. & Hansen, J. Ø. 2010. Hedging risks in shipping using futures contracts traded on Imarex. (Published Master Thesis). Norwegian. Norges Handelshøyskole.
Hull, J. C. 2006. Options, futures, and other derivatives. Pearson Education India.
Madan, D. B., Carr, P. P. and Chang, E. C. 1998. The Variance Gamma Process and Option Pricing, Oxford Jounals, 2,1,79-105.
Merton, R. C. 1976. Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3 (1-2). 125-144.
Polat, R., A. 2009. Comparative Study of Black&Scholes Equation, Selçuk Journal of Applied Mathematics, 10,1,135-140.
Scott, L. O. 1987. Option Pricing When the Variance Changes Randomly. Journal of Financial and Quantitative Analysis, 22. 419-438
Tural, Ö. 2008. Applications of Option Pricing Models for Hedging. Master Thesis, Marmara University, Institute of Banking and Insurance, Istanbul.
Turnbull, S. M. and L. M. Wakeman. 1991. A Quick Algorithm for Pricing European Average Options. Journal of Financial and Quantitative Analysis, 26. 377-389.
Wilmot, P., S. Howison, and J. Dewynne. 1995. The Mathematics of Financial Derivatives. New York.
Yazir, D. 2011. The Linear Regression Approach for the Black & Scholes Option Model. Master’s Thesis, Karadeniz Technical University, Institute of Science, Trabzon.
Citation note:
Yazir D., Sahin B.: Linear Regression Approach for the Financial Risks of Shipping Industry. TransNav, the International Journal on Marine Navigation and Safety of Sea Transportation, Vol. 11, No. 4, doi:10.12716/1001.11.04.09, pp. 635-640, 2017
Authors in other databases:
Devran Yazir: Scopus icon57201350130 Scholar icon-BtXM54AAAAJ
Bekir Sahin:

Other publications of authors:


File downloaded 953 times








Important: TransNav.eu cookie usage
The TransNav.eu website uses certain cookies. A cookie is a text-only string of information that the TransNav.EU website transfers to the cookie file of the browser on your computer. Cookies allow the TransNav.eu website to perform properly and remember your browsing history. Cookies also help a website to arrange content to match your preferred interests more quickly. Cookies alone cannot be used to identify you.
Akceptuję pliki cookies z tej strony