A Research On Option Pricing Of Baltic Dry Index Based On Heston Model

With the gradual advancement of economic globalization,international shipping,as an important link in the global trade supply chain,has played a significant role in promoting regional prosperity and driving global economic development.As a significant part of the international shipping market,dry bulk shipping has characteristics that are easily influenced by macroeconomic factors such as the economy,thus resulting in a significant decrease in demand for shipping in the backdrop of the global economic recession.Since 2020,with the global economic recession,further,geopolitical conflicts,COVID-19 pandemic,and the increase in international oil prices have all affected the quantity of goods entering and exiting storage,leading to significant fluctuations in the level of prices for dry bulk shipping,which is an important indicator of the level of change in the dry bulk shipping market.In view of this fluctuation caused by multiple uncertainties,ship owners and those seeking to provide shipping capacity need appropriate methods to reduce operating costs.In recent years,it has been a mainstream method to use shipping derivatives for hedging to avoid such risks.Shanghai and other important coastal cities have also recently issued relevant implementation opinions to explore dry bulk freight index option products,so as to ensure the smooth transportation of international trade goods.However,as dry bulk shipping index options products are currently in the exploration stage,theoretical research on such options is not yet fully comprehensive,and there are fewer pricing models for such options.In order to perfect the theoretical research on dry bulk shipping index options and construct a pricing model for index options that meets the characteristics of the shipping market,through a large number of studies combined with economic principles,the theory of option pricing in financial markets is introduced into the shipping derivatives market.The characteristics of the volatility of the dry bulk shipping index price are analyzed,and the correlation with the volatility of the stock market is compared.Based on the Heston option pricing model in financial markets,taking into account the characteristics of the shipping market itself,an improved option pricing model suitable for the Baltic Dry Index is provided.For this model,two methods for solving it are provided.For the optimization problem generated during the process of solving the model,an improved intelligent optimization algorithm is designed,and the rationality and superiority of the algorithm are proven through comparison experiments.Finally,an example is given to verify the hedging effectiveness of the option pricing model,and new ideas for pricing dry bulk shipping index options are provided.