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Multi-period binding freight contract using swing options
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DOI：10.1016/j.tre.2025.104419.png)
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Abstract
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• Swing options are introduced as multi-period binding freight contracts. • The swing option can be used to solve the load rejection problem and hedge against spot rate volatility. • Proposing swing option is priced based on the Hull-White tree model and dynamic programming. • Several tendering strategies are compared under different market conditions. • A short-term call swing option benefits the shipper for their short to medium-term shipping needs.
Keywords:
Freight derivatives
Swing option
Binding freight contract
Option valuation
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