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

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    • Idiosyncratic moments and the cross-section of stock returns in Brazil 

      Almeida, Caio Ibsen Rodrigues de; Ricca, Bernardo; Tessari, Cristina
      2016-11-01
      This 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, ...

    • Sampled control for mean-variance hedging in a jump diffusion financial market 

      Costa, O. L. V.; Maiali, Andre Cury; Pinto, Afonso de Campos
      2009
      In 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 ...