ETDs @PUC-Rio
| Título: | THE HESTON MODEL AND THE BRAZILIAN MARKET OPTIONS | ||||||||||||
| Autor: |
VINICIUS BRUM GUERRA GOMES |
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| Colaborador(es): |
ANTONIO CARLOS FIGUEIREDO PINTO - Orientador |
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| Catalogação: | 08/MAI/2025 | 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=70340&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=70340&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.70340 | ||||||||||||
| Resumo: | |||||||||||||
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This work is aimed at providing a comparative analysis between the pricing models of Black and Scholes (1973) and Heston (1993) in order to identify the one that best suits the reality of the brazilian options market. To that end, a set of options whose underlying shares composed the Ibovespa (Index of the São Paulo Stock Exchange) were selected at the time of data collection (November/2014). The data of the shares cover the period from January/2000 to November/2014. For the Heston model, two volatility estimation alternatives were addressed: Estimation by GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and by EGARCH (General Exponential Autoregressive
Conditional Heteroskedastic). The analysis of these results was performed from comparing three error indicators: MAE (Mean Absolute Error), MAPE (Mean Absolute Percentage Error) and MSE (Mean Squared Error). After performing this empirical study for each selected option was found that the Heston model appears as the best alternative option pricing.
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