Universiẗat, Diss., 2004--Münster (Westfalen). / Erscheinungsjahr an der Haupttitelstelle: 2003.

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No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) bruno_ferreira_campos_silva.pdf: 2957468 bytes, checksum: 54576f6c332d9ba048e85d7de08b09a8 (MD5) Previous issue date: 2017 / Nesta disserta??o ? apresentada a teoria que envolve o modelo de Black ? Scholes como uma alternativa de investimento para produtores rurais dos Vales do Jequitinhonha e Mucuri. Ao fazer um estudo sobre os produtores rurais dos vales, percebe-se que a produ??o no campo ? voltada para a subsist?ncia, vendendo somente o excedente. Foi constatado que a falta de investimento no campo reduz em partes o n?vel de produ??o do produtor rural. A alternativa de investimento atrav?s do modelo de Black ? Scholes na precifica??o de op??es se faz necess?rio n?o somente para se ter um maior investimento no meio rural, mas sim, ser tamb?m uma outra forma de se obter renda com t?cnicas aplicadas na Bolsa de Valores, ajudando o homem do campo em ter uma estabilidade financeira baseada n?o somente em sua produ??o. ? realizado um estudo criterioso da equa??o diferencial parcial estoc?stica advinda deste modelo, no tocante ? determina??o de poss?veis simula??es de problemas enfrentados diante das volatilidades dos mercados na precifica??o de op??es. Para que o produtor rural utilize o modelo de Black ? Scholes ? interessante se observar como se comporta os seus par?metros. Ent?o foi realizado uma an?lise do comportamento do valor da precifica??o de op??es em rela??o aos par?metros do modelo de Black ? Scholes baseados em dados reais retirados da BM&FBOVESPA. ? apresentada uma breve compara??o do modelo de Black ? Scholes com o modelo Binomial, compara??o feita com um exemplo de obten??o do valor da op??o de compra e venda via Binomial e Black ? Scholes, e neste exemplo ? observado um melhor retorno para o modelo Binomial. ? observado ao longo da pesquisa que existem dois par?metros que mais oscilam nos mercados, que s?o a volatilidade e a taxa de juros. Para se fazer bons investimentos, o produtor rural deve ficar atento e ter ci?ncia do comportamento da oscila??o desses par?metros. Para se ter uma melhor representa??o da varia??o desses par?metros, ? feito uma compara??o entre o valor das op??es de compra e venda calculados pelo modelo de Black ? Scholes e Binomial. Para a taxa de juros o modelo Binomial apresentou valores fora do esperado em rela??o ao modelo de Black ? Scholes. Devido a car?ncia de informa??es a respeito de como se investir na Bolsa de Valores, ? criado uma cartilha que se encontra nos anexos desta disserta??o voltada para o produtor rural, sobre como fazer um investimento na Bolsa de Valores e quais procedimentos iniciais deve-se tomar para obter ?xito nos mercados. Desses estudos, conclui-se que ? poss?vel o produtor rural investir pequenas quantias de dinheiro e obter retornos significativos em rela??o ao investimento inicial. Podendo assim, aplicar parte desse dinheiro em seu trabalho no campo e tamb?m ter uma forma de renda quando os retornos das produ??es no meio rural n?o forem favor?veis. / Disserta??o (Mestrado Profissional) ? Programa de P?s-Gradua??o em Tecnologia, Sa?de e Sociedade, Universidade Federal dos Vales do Jequitinhonha e Mucuri, 2017. / In this dissertation there is presented the theory that involves the Black model ? Scholes as an alternative of investment for rural producer Jequitinhonha and Mucuri Valleys. When doing a study on the rural producers of the valleys, it is seen that the production in the field is turned for the subsistence, selling only the excess. It was noted that the lack of investment in the field reduces in parts the level of production of the rural producer. The investment alternative through Black model ? Scholes in the options pricing is made necessary not only in order that a bigger investment has been in the rural environment, but yes, to be also another form of income being obtained with techniques applied in the valuable Stock Exchange, helping the man of the field in having a financial stability based not only on his production. It is accomplished out a discerning study of the partial differential equation stochastic resulted from this model, regarding the determination of possible simulations of problems faced before the volatilities of the markets in the options pricing. For the rural producer to use the Black model ? Scholes is interesting it will notice how if it holds his parameters. Then there was accomplished out an analysis of the behavior of the value of the pricing of options regarding the parameters of the Black model ? Scholes based on retired real data of the BM&FBOVESPA. There is presented a short comparison of the Black model ? Scholes with the Binominal model, comparison done with an example of getting the value of the option of purchase and sale was seeing Binomial and Black ? Scholes, and in this example a better return is observed for the Binomial model. It is observed throughout the research that there are two parameters that more oscillate in the markets, which are the volatility and the interest rate. In order that good investments become, the rural producer must be attentive and have science of the behavior of the oscillation of these parameters. In order that there has been a better representation of the variation of these parameters, it is done a comparison between the value of the options of purchase and sale calculated by the Black model ? Scholes and Binomial. For the interest rate the Binomial model presented values out of the waited one regarding the Black model ? Scholes. Due to lack of information about how to invest in the Stock Exchange, it is created a primer that is in the annexes of this dissertation turned to the rural producer how to make an investment in the Stock Exchange and it is necessary to take which initial proceedings to obtain succeed in the markets. Of these studies, it is ended that the possible the rural producer to invest small amounts of money and to obtain significant returns regarding the initial investment. Being able so, to apply part of this money in his work in the field and also to have the form of income when the returns of the productions in the rural environment are not favorable.

M.Com. (Finance and Investment Management) / The latest financial crisis that began in 2007 in the USA and spread to Europe, Africa and other continents has highlighted the importance of liquidity and its role in financial markets. One of the most commonly accepted mathematical models used in financial markets is the Black and Scholes option pricing model (BSM model). The assumptions in the BSM model have again been questioned during the current crisis and, in particular, the assumption of an unending risk-free supply of liquidity. This report reviews this assumption in the South African financial markets with local market participants. These views are polled through the use of a questionnaire to gauge these participants' views on liquidity using proxies or factors that impact overall liquidity. The results showed significantly different perspectives depending on the role of the participant as either market maker or price taker. The overall liquidity proxies used showed that local market participants believe these proxies impact liquidity. The view that liquidity is an unending commodity and thus priced as riskless was disputed by local market participants. The practical significance of the research problem in the local context should provide local participants with some insight into local perceptions on liquidity that may provide some practical tools when pricing or trading instruments in the local market.

Diploma thesis deals with models of asset pricing. We investigated in detail three classical models: binomial, Black-Scholes and Merton model. These models are widely used to date, although they were first published a few decades ago. It is because they are relatively simple and easy-to-use. The models were originally derived for option pricing however they can be used for the wide range of financial instruments. The theoretical part of the thesis includes an introduction to options and models derivation. The practical part consists of the sensitivity analyst and empirical test of the models. S&P 500 index options data were used for this purpose. The result is that Merton model seems to be the most accurate.

Finansų inžinerijos dėka buvo sukurti egzotiniai opcionai, kurie patrauklūs investuotojams dėl didesnio nei standartiniai opcionai pelningumo ir nestandartizacijos. Pastaraisiais metais padidėjo užbiržinėje rinkoje prekiaujamų egzotinių opcionų likvidumas, dėl ko investuotojams jie tapo dar patrauklesni. Finansų institucijos, norėdamos pasiūlyti investuotojams geriausiai jų lūkesčius atitinkančius finansinius instrumentus, konkuruoja tarpusavyje dėl naujų egzotinių opcionų kūrimo. Egzotiniai opcionai gali būti kuriami ne tik akcijų, indeksų, palūkanų normų ar valiutų pagrindu, bet netgi realiai neegzistuojančio turto pagrindu. Dėl tokios egzotinių opcionų įvairovės kyla egzotinių opcionų vertinimo problema. Darbo objektas – egzotiniai opcionai kaip kintamos vertės išvestinės finansinės priemonės. Darbo tikslas – išnagrinėjus egzotinių opcionų savybes ir įkainojimo metodus, suformuoti modelį egzotinių opcionų vertinimui ir atlikti modelio parametrų jautrumo analizę. Mokslinės finansų literatūros analizė parodė, kad opcionai gali būti naudojami apsidraudimo nuo rizikos arba spekuliaciniais tikslais. Išnagrinėjusi opcionų savybes ir egzotinių opcionų klasifikacijas, autorė pasiūlė savo sukurtą egzotinių opcionų klasifikaciją, kuri priklauso nuo opciono charakteristikų. Išnagrinėjus mokslinę literatūrą nustatyta, kad vertinant opcionus svarbiausia atsižvelgti į opcionų vertę sudarančius parametrus: bazinio turto rinkos kainą bei jos kintamumą, vykdymo kainą, nerizikingą palūkanų... [toliau žr. visą tekstą] / Financial engineering have created exotic options that are more attractive to investors for more profitability than plain-vanilla options and non-standartization. Recently years have grown liquidity on OTC tradable options, and they became even more attractive for investors. Financial institutions compete for new exotic option creation, because they want to offer investors the best financial instruments for their expectations. Exotic options could be created not only on stocks, index, interest rates or currency bases, but even on not real-existed asset. There exists a problem of exotic options valuation, because there are a big variety of exotic options. The object of the study – exotic options as variable value derivatives. The purpose of the study – after analyse of characteristics and pricing methods of options, create a model for exotic options evaluation and make model parameters sensitivity analysis. The findings of the scholar finance literature pointed, that options could be used for hedging from risks or speculation. After analysis of options characteristics and exotic options classifications, authoress offer new exotic options classification, which depends on option characteristics. To summarize of scolar literature pointed, that the most important for valuing options is their parameters: strike price, underlying spot price and volatility, risk free rate, maturity and, if it is, dividens. After comparable analysis it emerged, that exotic options greeks functions... [to full text]

In this paper, we study mathematical properties of a generalized bivariate Ornstein-Uhlenbeck model for financial assets. Originally introduced by Lo and Wang, this model possesses a stochastic drift term which influences the statistical properties of the asset in the real (observable) world. Furthermore, we generali- ze the model with respect to a time-dependent (but still non-random) volatility function. Although it is well-known, that drift terms - under weak regularity conditions - do not affect the behaviour of the asset in the risk-neutral world and consequently the Black-Scholes option pricing formula holds true, it makes sense to point out that these regularity conditions are fulfilled in the present model and that option pricing can be treated in analogy to the Black-Scholes case.

Univ., Diss.--Münster, 2002.

Made available in DSpace on 2016-12-23T14:00:40Z (GMT). No. of bitstreams: 1 Martinho de Freitas Salomao.pdf: 1262175 bytes, checksum: ef4dc9b7a603fc2332f25a6fb3d3bcae (MD5) Previous issue date: 2011-05-20 / Neste trabalho são analisadas as propriedades teóricas e empíricas de três modelos de precificação de opções financeiras sobre ações: Black Scholes (1973), ad-hoc Black Scholes (Dumas, Fleming e Whaley, 1998), e o modelo GARCH assimétrico proposto por Heston e Nandi (2000), ou HN-GARCH. Os modelos são testados em opções de compra sobre ações preferenciais da Petrobras. É mostrado que o modelo Black Scholes (1973), por supor que a variância do ativo subjacente seja constante, apresentou o pior desempenho de predição comparativamente aos outros dois modelos, que consideram a volatilidade uma variável. Enquanto o modelo ad-hoc Black Scholes precificou melhor as opções muito dentro do dinheiro, dentro do dinheiro e muito fora do dinheiro, o modelo HN-GARCH obteve desempenho superior em opções no dinheiro e fora do dinheiro / This study analyzes the theoretical and empirical properties of three models for pricing options on financial stocks: Black Scholes (1973), ad-hoc Black Scholes (Dumas, Fleming and Whaley, 1998), and the asymmetric GARCH model proposed by Heston and Nandi (2000), or HN-GARCH. The models are tested in call s options on shares of Petrobras. It is shown that the Black Scholes model (1973), by assuming that the variance of the underlying asset is constant, showed the worst performance prediction compared to the other two models that consider volatility a variable. While the model adhoc Black Scholes priced much better options deep in the money, in the money and deep out of the money, the HN-GARCH model had superior performance for at the money and out of the money options

We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps,  convergence of the stock prices and the option prices are obtained as N-> infinite. The obtained convergence is the Black-Scholes model and, for the particular case of European call option, the Black-Scholes formula is obtained. Furthermore, the Black-Scholes partial differential equation is obtained as a limit from the N step binomial tree model. Pricing of American put option under the Black-Scholes model is obtained as a limit from the N step binomial tree model. With this thesis, option pricing under the Black-Scholes model is achieved not by advanced stochastic analysis but by elementary, easily understandable probability computation. Results which in elementary books on finance are mentioned briefly are here derived in more details. Some important Java codes for N step binomial tree option prices are constructed by the author of the thesis.

Impulsos são perturbações abruptas que ocorrem em curto espaço de tempo e podem ser consideradas instantâneas. E os mercados financeiros estão sujeitos a choques bruscos como mudanças de governos, quebra de empresas, entre outros. Assim, é natural considerarmos a ação de tais eventos na precificação de ativos financeiros. Nosso objetivo neste trabalho é obtermos uma formulação para a equação diferencial parcial de Black-Scholes com ação impulsiva de modo que os impulsos representem estes choques. Utilizaremos a teoria de integração não-absoluta em espaço de funções para obtenção desta formulação / Impulses describe the evolution of systems where the continuous development of a process is interrupted by abrupt changes of state. Financial markets are subject to extreme events or shocks as government changes, companies colapse, etc. Thus it seems natural to consider the action of these events in the valuation of derivative securities. The aim of this work is to obtain a formulation for the Black-Scholes equation with impulse action where the impulses can represent these shocks. We use the non-absolute integration theory in functional spaces to obtain such formulation