Dissertação (mestrado)—Universidade de Brasília, Departamento de Economia, 2006. / Submitted by leandro spinola (l.spinolafla@gmail.com) on 2009-11-21T17:34:34Z
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Previous issue date: 2006 / O apreçamento de opções tem sido objeto de estudo constante principalmente a partir de 1973 quando Black-Scholes derivaram uma fórmula fechada para tratar do assunto. Diversos modelos fotram propostos a partir daí, objetivando principalmente o relaxamento de algumas premissas do modelo original. Em 1997 Bakshi-Cao-Chen ampliaram o modelo original utilizando a volatividade estocástica, taxa de juros e difusão com saltos no ativo base. Nosso trabalho será replicar este modelo e verificar se ele pode ser utilizado para apreçar opções de dólar no mercadom brasileiro _________________________________________________________________________________________ ABSTRACT / Pricing options has been frequently studied since 1973 when Black and Scholes developed a closed-form solution to this issue. Since then, diferent models were proposed and the main focus was relaxing some standards and assumptions from original model. In 1992 Bakshi, Cao and Chen extend the original model using stochastic volatility, stochastic interest rates and jumps difusion. Our research will be using the model and check wether it fits to pricing options denominated in Dolar traded in Brazilian markets.
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.unb.br:10482/2258 |
| Date | January 2006 |
| Creators | Barros, Felipe Gomes da Silva |
| Contributors | Tabak, Benjamin Miranda |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional da UnB, instname:Universidade de Brasília, instacron:UNB |
| Rights | info:eu-repo/semantics/openAccess |
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