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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2003.tde-23022022-101151
Document
Author
Full name
Carlos Eduardo de Souza Lara
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2003
Supervisor
Committee
Yoshino, Joe Akira (President)
Athayde, Gustavo Monteiro de
Rosenfeld, Rogério
 
Title in Portuguese
Apreçamento e hedging de opções com barreira: incorporação do sorriso de volatilidade
Keywords in Portuguese
Finanças
Investimentos
Abstract in Portuguese
Este trabalho objetiva verificar a aplicabilidade ou não dos procedimentos adotados no mercado financeiro para o apreçamento e hedging de opções com barreira. A ideia básica é a de comparar, em um ambiente controlado, duas alternativas de apreçamento, ambas paramétricas, e avaliar se existe ou não diferença significativa entre elas. Uma discussão sobre a modelagem de opções com barreira, que envolve aplicações do teorema de Girsanov e da reflexividade, é apresentada como subsídio para o argumento que se quer testar empiricamente, mas num ambiente controlado. Para os casos estudados, a incorporação do Sorriso de volatilidades não levou a resultados muito melhores que a utilização de uma volatilidade constante na abordagem de Black&Scholes
 
Title in English
Pricing and hedging of barrier options: incorporation of the volatility smile
Keywords in English
Finance
Investments
Abstract in English
This paper intends to verify the suitability or not of practical procedures used in the market for pricing and hedging of Barrier Options. The main idea is to compare two different pricing strategies, in a known enviroment, under control. Both strategies are parametric, and the task is to compare the performance of two different models, finding whether a relevant difference does exist. A discussion on barrier options pricing and hedging, with uses of Girsanov' s Theorem and the reflexion principle is presented and used as subside for the argument we want to check empirically, but under a controled enviroment. For the studied cases, incorporanting the volatility smile doesn't lead to much better results than using flat volatility in the Black&Scholes' s approach
 
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Publishing Date
2022-02-23
 
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