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Master's Dissertation
DOI
10.11606/D.3.2016.tde-12072016-113756
Document
Author
Full name
Fausto Junior Martins Ferreira
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2015
Supervisor
Committee
Cipparrone, Flávio Almeida de Magalhães (President)
Costa, Oswaldo Luiz do Valle
Silva, Marcos Eugenio da
Title in Portuguese
Fatores de risco adaptados de taxa de câmbio no modelo de Black e Scholes.
Keywords in Portuguese
Apreçamento
Derivativos
Fatores de risco
Finanças
Implícita
Volatilidade
Abstract in Portuguese
Este trabalho apresenta uma metodologia de cálculo de sensibilidades utilizando equa- ções analíticas, levando em a conta a correção de smile na superfície de volatilidade, que não é contemplada no modelo de Black e Scholes. Dada a diferença signicativa na mensura ção do risco as instituições nanceiras calculam suas sensibilidades incorporando esta correção, mas tal determinação tem sido realizada por métodos numéricos, que acabam sendo mais lentos que a abordagem aqui proposta. São apresentadas equações analíticas para as principais sensibilidades do modelo a partir de dados de mercado usados na constução da superfície de volatilidade implícita. Ilustramos a comparação da técnica proposta com o método numérico com base no mercado de opções sobre taxa de câmbio Brasileiro.
Title in English
Foreign exchange adapted risk factors on a black and scholes model.
Keywords in English
Derivatives
Implied
Pricing
Risk factors
Volatility
Abstract in English
This work presents a study on how we should adapted the Greeks or risk factors of the Black and Scholes model. We can derive analytical equations for the main sensitivities of the model and using the market data to build an implied volatility surface and to get additional terms for the risk factors. We propose to implement this model in a scheme of analytic differential equations derived from the pricing model and from the implied volatility function. The building of this implied volatility and risk factors was based on the foreign exchange Brazilian market.
 
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Publishing Date
2016-09-02
 
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