The Black Scholes Equation
Mostrando 1-4 de 4 artigos, teses e dissertações.
-
1. The Black-Scholes equation with impulse action / A equação de Black-Scholes com ação impulsiva
Impulsos são perturbações abruptas que ocorrem em curto espaço de tempo e podem ser consideradas instantâneas. E os mercados financeiros estão sujeitos a choques bruscos como mudanças de governos, quebra de empresas, entre outros. Assim, é natural considerarmos a ação de tais eventos na precificação de ativos financeiros. Nosso objetivo neste tra
Publicado em: 2008
-
2. 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
-
3. Avaliação de métodos numéricos para precificação de derivativos: aplicação ao mercado brasileiro / Numerical evaluation methods for pricing of derivatives : application to the brazilian market
The goal of this work is twofold: (i) to review numerical methods to price derivatives; (ii) to compare numerical methods assuming that market prices are reflected in the Black and Scholes formula. We apply these models to price call option on Telebrás shares. Accuracy and computational costs were used to compare the following methods: binomial, Monte Carlo
Publicado em: 24/11/2005
-
4. An Evaluation of Black &Scholes Model Application for Pricing of Future Options of Arabic Coffee from BM&F. / Uma Avaliação da Aplicação do Modelo de Black &Scholes para Precificação de Opções de Futuro de Café Arábica da BM&F.
Options in future markets is a theme still with little exploration by the studious, concerned to practical work published, mainly in Brazilian Literature. In this work it has been tried to show the importance of volatility in pricing of options when applied to Black &Scholes Model. A first analysis was taken, a study of derivatives, defined as titles which v
Publicado em: 2003