Versão discreta do modelo de elasticidade constante da variância

Menes, Matheus Dorival Leonardo Bombonato

doi:10.11606/D.55.2012.tde-16042013-151325

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Master's Dissertation

DOI

https://doi.org/10.11606/D.55.2012.tde-16042013-151325

Document

Master's Dissertation

Author

Menes, Matheus Dorival Leonardo Bombonato (Catálogo USP)

Full name

Matheus Dorival Leonardo Bombonato Menes

E-mail

Institute/School/College

Instituto de Ciências Matemáticas e de Computação

Knowledge Area

Computer Science and Computational Mathematics

Date of Defense

2012-08-08

Published

São Carlos, 2012

Supervisor

Pinto Junior, Dorival Leão (Catálogo USP)

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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Publishing Date

2013-04-16

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