Browsing Produção Intelectual em Bases Externas by Subject "Mercado de opções"

Now showing items 1-5 of 5

    • Cross hedging do novilho argentino no mercado futuro do boi gordo brasileiro 

      Oliveira Neto, Odilon José de; Garcia, Fábio Gallo
      2013
      The present study verifies the effectiveness of cross hedge operations for Argentinians steers by negotiation with futures contracts of the Brazilian live cattle in the Brazilian Securities, Commodities and Futures Exchange ...

    • Do interest rate options contain information about excess returns? 

      Almeida, Caio Ibsen Rodrigues de; Graveline, Jeremy J.; Joslin, Scott
      2011-09-01
      There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...

    • Intertemporal coordination with delay options 

      Araujo, Luis Fernando Oliveira de; Guimarães, Bernardo
      2015-05
      This paper studies equilibrium selection in intertemporal coordination problems with delay options. The risk-dominant action of the underlying one-shot game is selected when frictions are arbitrarily small. Larger frictions ...

    • Skewness premium with Lévy processes 

      Fajardo, José; Mordecki, Ernesto
      2014-09
      We study the skewness premium (SK) introduced by Bates [J. Finance, 1991, 46(3), 1009-1044] in a general context using Levy processes. Under a symmetry condition, Fajardo and Mordecki [Quant. Finance, 2006, 6(3), 219-227] ...

    • Term structure movements implicit in Asian option prices 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José
      2008
      In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...