ETDs @PUC-Rio
| Título: | SKEWNESS AND KURTOSIS CONES ON BRAZILIAN STOCK CALL OPTIONS MARKET: AN ANALYSIS OF VOLATILITY CONES BEYOND IMPLIED VOLATILITY CALCULATED BY CORRADO-SU AND BLACK-SCHOLES MODELS | ||||||||||||||||||||||||||||||||||||
| Autor: |
HENRIQUE BAUER |
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| Colaborador(es): |
ANTONIO CARLOS FIGUEIREDO PINTO - Orientador |
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| Catalogação: | 16/JUL/2012 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=19876&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=19876&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.19876 | ||||||||||||||||||||||||||||||||||||
| Resumo: | |||||||||||||||||||||||||||||||||||||
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The present study aims to show the existence of skewness and kurtosis
cones in the Brazilian market. In addition, the coefficients of skewness and
kurtosis are of paramount importance for the application of the model of Corrado
and Su (1996). The implied volatilities calculated by the inverse of this template
will be superimposed to the cones of volatility, seeking opportunities to acquire or
dispose of volatility. Comparison of Black and Scholes model will also be used
for the extraction of such measures of implied volatility. Another contribution of
this paper is to show the effects of the volatility smile and term structure of
volatility are amenable before operations performed with the cones of volatility,
taking into account the implied volatility calculated by different models. For this,
statistical tests were performed, efficiency and a descriptive analysis of the most
important variables for a correct analysis of the options market, in times of
stability and low volatility as the year of 2010. The study showed the existence of
skewness and kurtosis cones in the Brazilian market and gains possibilities with
volatility cones operations, but the results obtained with the two models didn´t
have significative statistics differences.
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