Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Derivativos (Finanças) - Preços"

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    • Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing 

      Almeida, Caio Ibsen Rodrigues de
      2005-02-03
      Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ...

    • Duality with time-changed Lévy processes 

      Barbachan, José Santiago Fajardo
      2005-04-14
      In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European ...