A stochastic freight rate approach to valuation of crude tanker companies
Master thesis
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http://hdl.handle.net/11250/2476913Utgivelsesdato
2017Metadata
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- Master of Science [1555]
Sammendrag
This thesis aims to develop a stochastic valuation model for the shipping industry,
incorporating an Ornstein-Uhlenbeck process by capturing the meanreverting
dynamics of freight rates. It examines the theoretical foundation
underlying the mean-reverting processes, and project revenue by applying the
Monte Carlo simulation method to freight rates. We find empirical evidence
that historical freight rates are stationary, and literature supporting its meanreverting
properties. The model’s validity is tested through a valuation of
several shipping companies. We conclude that the results are ambiguous when
using the market value as benchmark, due to limitations in the projections
of capital structure as illustrated in the sensitivity analysis. The thesis has
developed a first step for a new valuation approach of crude oil tankers.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017