Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Mercado de opções - Preços"

Now showing items 1-3 of 3

    • Dois ensaios em finanças 

      Tessari, Cristina
      2016-03-22
      We 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 ...

    • Option pricing under multiscale stochastic volatility 

      Tessari, Cristina; Almeida, Caio Ibsen Rodrigues de
      2015
      The 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 

      Borges, Ricardo José da Costa Silva
      2017-05-31
      This 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, ...