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Master's Dissertation
DOI
10.11606/D.55.2012.tde-16042013-151325
Document
Author
Full name
Matheus Dorival Leonardo Bombonato Menes
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2012
Supervisor
Committee
Pinto Junior, Dorival Leão (President)
Andrade Filho, Marinho Gomes de
Ohashi, Alberto Masayoshi Faria
Title in Portuguese
Versão discreta do modelo de elasticidade constante da variância
Keywords in Portuguese
Derivada estocástica
Hedging
Modelo Balck-Scholes-Merton
Modelo de volatilidade constante da variância (CEV)
Movimento Browniano
Precificação de opções
Abstract in Portuguese
Neste trabalho propomos um modelo de mercado através de uma discretização aleatória do movimento browniano proposta por Leão & Ohashi (2010). Com este modelo, dada uma função payoff, vamos desenvolver uma estratégia de hedging e uma metodologia para precificação de opções
Title in English
Discrete version of constant elaticity ofvariance model
Keywords in English
Black-Scholes-Merton model
Brownian motion
Constant elasticity of variance model (CEV)
Hedging
Option pricing
Stochastic derivate
Abstract in English
In this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing
 
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matheusdefesa.pdf (686.00 Kbytes)
Publishing Date
2013-04-16
 
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