Browsing by Subject "Mercado de opções - Preços"
Now showing items 1-9 of 9
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An analysis of risk-neutral density’s moments for USD/BRL options with applications to trading
2019-07-26The present work proposes an application of a non-parametric methodology to extract the risk-neutral probability density function (RND) to USD/BRL options. This methodology consists in complementing the RND extracted from ... -
Aplicação de opções reais para avaliar uma aquisição de empresa do setor imobiliário brasileiro: estudo de caso
2014-12-12Aquisições de empresas obtiveram alta relevância na economia mundial nas últimas décadas. Em 2012, só no Brasil, movimentaram mais de R$ 180 bilhões. Entretanto, mesmo havendo vasto histórico de aplicação prática e ampla ... -
Aplicação do modelo de Hull-White a precificação de opções sobre IDI
2001-04-17Com base na revisão da literatura, particularmente dos resultados empíricos, o modelo de Hull-White surge como uma alternativa ao modelo de Black para precificação de opções sobre juros. Foram feitos uma série de testes ... -
Avaliação de opções sob consideração de volatilidades históricas, implícitas e condicionadas: o caso TELEBRÁS na BOVESPA
1999-12-01We measured the gains expected in the pricing of options written on Telebrás PN, using models of auto repressive volatility, and having its results were compared to those generated by numeric process of historic and implied ... -
Dois ensaios em finanças
2016-03-22We use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock ... -
Idiosyncratic moments and the cross-section of stock returns in Brazil
2016-11-01This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ... -
Option pricing under multiscale stochastic volatility
2015The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ... -
Precificação de opções sobre IDI com preço de mercado de risco variável
2017-05-31This work applies an empirical interest rate model to the method of pricing fixed income index options developed in Barbachan and Ornelas (2003). This model is based on the article by Ahmad and Wilmott (2006). Specifically, ... -
Sampled control for mean-variance hedging in a jump diffusion financial market
2009In this paper we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that ...
