right of first refusal pricing lorrian and michel ,
the rofr option , which grants the shipper the right to lock in the
transportation rate ( max rate ) for next
a few years , is priced as a spread swaption .
i priced two scenarios for you : the strip starts 1 ) nov . 1 - 00 and 2 ) nov . 1 - 01 .
for the first one i assume that the shipper makes decision on oct . 31 , 00 ( 54
days to maturity )
and on oct . 31 , 01 ( 419 days to maturity ) for the second case .
the second case has longer time to expiration , therefore larger option time
value . see the attached
spreadsheets for more detail .
let me know if you have any questions .
zimin
right of first refusal pricing
lorrian and michel ,
the rofr option , which grants the shipper the right to lock in the
transportation rate ( max rate ) for next
a few years , is priced as a spread swaption .
i priced two scenarios for you : the strip starts 1 ) nov . 1 - 00 and 2 ) nov . 1 - 01 .
for the first one i assume that the shipper makes decision on oct . 31 , 00 ( 54
days to maturity )
and on oct . 31 , 01 ( 419 days to maturity ) for the second case .
the second case has longer time to expiration , therefore larger option time
value . see the attached
spreadsheets for more detail .
let me know if you have any questions .
zimin