Option Price Model
Mostrando 1-12 de 17 artigos, teses e dissertações.
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1. SE PLANTA E COLHE ALIMENTOS NESTE SERTÃO: resistência e permanência da autonomia camponesa e as estratégias do MPA (Movimento dos Pequenos Agricultores) nas contradições do projeto da soberania alimentar. / IF THIS PLANT FOOD AND REAP SERTÃO: resistance and persistence of peasant autonomy and strategies of the MPA (Movement of Small Farmers) contradictions in the design of food sovereignty.
This dissertation has the objective of analyze the production unit of the rural family, from the Small Agriculture Movement MPA. To reach this objective, a historic study of the MPA was carried out, its organization, specialization, its relation with the rural way. We focused our research in the territory of the High back-country of Sergipe, which configures
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 11/07/2012
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2. GENETIC-NEURAL MODEL FOR PORTFOLIO OPTIMIZATION WITH FINANCIAL OPTIONS IN THE BRAZILIAN MARKET / MODELO GENÉTICO-NEURAL PARA OTIMIZAÇÃO DE CARTEIRAS COM OPÇÕES FINANCEIRAS NO MERCADO BRASILEIRO
This dissertation develops an intelligent, quantitative and probabilistic model to determine an optimal composition of a portfolio consisting of a financial asset and options over this asset. Initially we studied the characteristics of the historical distribution of returns and volatility of the most liquid stocks from the BOVESPA Stock Exchange, from Januar
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 08/02/2011
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3. Valuation of american interest rate options by the least-squares Monte Carlo method
The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style interest rate options. It provides accurate option price estimates which are very close to results provided by
Pesquisa Operacional. Publicado em: 2011-12
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4. Essays in macroeconomy and dynamic term-structure models
This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is imp
Publicado em: 19/12/2009
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5. Application of the theory of real options in the evaluation of small central office hydroelectric plant / Aplicação da teoria de opções reais na avaliação de pequena central hidrelétrica
Nowadays, small entrepreneurs have been able to get permission to start small hidro power plant ("SHP") without economi support to implement it. This common practice in the electrical sector has important implicatins such as excessive construction delays and a speculative behavior that lead entrepreneurs to search SHPs to obtain the permissiona After grantin
Publicado em: 2009
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6. Elasticidades de curto e longo prazos da demanda por Ãlcool hidratado no Brasil
Since March 2003, with the launch of flex fuel cars, consumption of hydrated alcohol again grows strongly in Brazil. The option of the consumer choice, holder of this technology, which allows the use of hydrated alcohol, gasoline or any mixture of proportion between the two in a single tank of fuel, leads to take as main variable the price of fuels (hydrated
Publicado em: 2009
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7. Analise das Opões reais de um empreendimento de mineração utilizando simulação de Monte carlo
Mining projects demand large capital expenditure and are subject to high uncertainty, related to metal price and exchange rate. In this context, the traditional Discounted Cash Flow analysis tends to underestimate the value of the project. Real Options Analysis incorporates the value of managerial flexibility in uncertain conditions and, therefore, is a bett
Publicado em: 2008
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8. Precificação de contratoas inflexiveis de energia eletrica : rentabilidade e impacto de encargos e tibutos / Pricing electricity inflexible contracts : profitability and impact of charges and taxes
This dissertation addresses the pricing of electrical energy contracts in the Brazilian market, a topic whose difficulty stems mainly because it is a very recent market without a long historic of prices. It offers a contribution situated in two points: the pricing of purchase and sell contracts of inflexible electrical energy (options and forwards) in the Fr
Publicado em: 2008
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9. Modelo exponencial para opÃÃes: aplicaÃÃes ao Ãndice Ibovespa
In this thesis we perform an empirical analysis of the Brazilian stock and options markets. In the first part of our study we carry out a statistical analysis of the Ibovespa stock index of the SÃo Paulo Stock Exchange. It is shown that the daily returns of Ibovespa follow not a Gaussian distribution but rather an exponential law, in addition, this exponent
Publicado em: 2007
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10. VALUATION OF GTL PROJECT: A REAL OPTION APLICATION WITH MEAN REVERSION MODEL / AVALIAÇÃO ECONÔMICA DO PROJETO GTL: UMA APLICAÇÃO DA TEORIA DE OPÇÕES REAIS COM PROCESSO DE REVERSÃO À MÉDIA
The present work has objective to analyze the investiment of a XTL plant using the Real Options Theory. This methodology is adjusted to evaluate the capacity that this project has to changes its input and/or output, in other words, to elect the option that maximizes payoff, in accordance with each scenario, allowing to evaluate the construction of a plant wi
Publicado em: 2007
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11. A proposal of reducing farmer exposition to financial risk supported by derivatives : application to the biodiesel case / Uma proposta de redução da exposição ao risco financeiro do produtor agricola pelo uso de derivativos : aplicação ao caso do biodisel
The aim of this research was to present a model to guide the agents involved in the market to reduce the financial risk of a project in the agriculture. Due the moment favorable to the bio-combustible and of the richness of the modeling involved, the biodiesel was chosen to analyze. The biodiesel production includes a basket of vegetal oils and also animal f
Publicado em: 2007
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12. Models for estimation of the optimal investment timing in deep-waters projects / Modelos para estimativa do momento otimo de investimento em projetos em aguas profundas utilizando opções reais
This work proposes two Real Options models for economic evaluation of E&P projects located in deep-water. The models consider the effects of uncertainties related to the oil price and the process of technological evolution. These models are useful for undeveloped reserves of heavy oil in deep-water that depict a great level of uncertainty, as the available t
Publicado em: 2007