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Master's Dissertation
DOI
10.11606/D.55.2018.tde-19022018-144817
Document
Author
Full name
Rubens Yoshio Yamamoto
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2017
Supervisor
Committee
Andrade Filho, Marinho Gomes de (President)
Catuogno, Pedro Jose
Ehlers, Ricardo Sandes
Pinto Junior, Dorival Leão
Title in Portuguese
Estudo do método SVI aplicado à construção da volatilidade implícita para opções de ação e de índice no mercado brasileiro
Keywords in Portuguese
Black- Scholes
Opções de ação e índice
SVI
Volatilidade implícita
Abstract in Portuguese
Este trabalho tem por objetivo verificar a eficácia do modelo parametrizado SVI (Stochastic Volatility Inspired), apresentando-o como um método alternativo à construção da volatilidade implícita para opções de ações e de índice no mercado brasileiro. Primeiramente, o conceito financeiro de opção e sua teoria de precificação são apresentados, incluindo os modelos de Black-Scholes e Heston, a importância da volatilidade implícita e seu comportamento estocástico e detalhando o funcionamento de cada parâmetro do modelo SVI (Stochastic Volatility Inspired). Um algoritmo é desenvolvido em cima da base teórica, assim como sua implementação computacional. Além disso, são feitos experimentos com dados de mercado reais e seus resultados analisados e comparados com os de publicações anteriores.
Title in English
Study of SVI method applied to implied volatility construction for stock and index options in Brazilian market
Keywords in English
Black-Scholes
Implied volatility
Stock and index options
SVI
Abstract in English
This work aims to verify the efficiency of parameterized SVI (Stochastic Volatility Inspired) model, presenting it as an alternative method to construct the implied volatility for stock and index options in Brazilian market. First, the financial option concept and its pricing theory are presented, including Black-Scholes and Heston models, the importance of implied volatility and its stochastic behavior and detailing the operation of each parameter of the SVI (Stochastic Volatility Inspired) model. An algorithm is developed on top of the theoretical basis, as well as its computational implementation. In addition, experiments are performed with real market data and their results are analyzed and compared with those of previous publications.
 
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Publishing Date
2018-02-19
 
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