Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Opções (Finanças) - Modelos matemáticos"

Now showing items 1-2 of 2

    • 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 ...

    • Pricing and hedging of oil futures : a unifying approach 

      Buhler, Wolfgang
      2001-09-04
      We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of inventories ...