TRABALHOS DE FIM DE CURSO @PUC-Rio
| Título: | ESTIMATION OF RISK NEUTRAL DISTRIBUTION WITH REAL MARKET DATA | ||||||||||||
| Autor(es): |
RODRIGO DE CARVALHO AMATRUDA HADDAD CALEIRO |
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| Colaborador(es): |
ALVARO DE LIMA VEIGA FILHO - Orientador MANOEL FRANCISCO DE SOUZA PEREIRA - Coorientador |
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| Catalogação: | 11/JUL/2016 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | SENIOR PROJECT | ||||||||||
| 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/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=26822@1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=26822@2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.26822 | ||||||||||||
| Resumo: | |||||||||||||
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This work introduces a way to calculate theoretical prices for derivatives that are negociated in the Brazilian Financial Market using an empirical version of the Esscher transform.
In order to verify the efficacy of the method, real market data were used to value options over the Ibovespa Index and the Petrobras preferential stock. Moreover, the prices obtained with the Esscher model were compared with theoretical prices calculated with the Black and Scholes equation, the world famous derivative pricing formula, and with real options price obtained in the Brazilian futures market BMF&Bovespa.
As motivation, the work introduces how financial options work and how they are extremely useful for asset management firms as well as industries.
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