Apreçamento de opções de IDI usando distribuições hiperbólicas generalizadas
DOI:
https://doi.org/10.11606/1413-8050/ea220226Palavras-chave:
option pricing, generalized hyperbolic distributions, interest ratesResumo
This paper proposes an option price model for the Brazilian IDI option of BM&F. The model considers that the forward price's return of the IDI follows a Generalized Hyperbolic (GH) distribution, and then is obtained an option pricing formula similar to Black (1976) formula. It is also done a parameter estimation of the model, and the conclusion is that the GH distribution has a better fit than the Normal distribution. Finally, the premium of the options were calculated with the Black model using a Normal Inverse Gaussian (NIG) distribution and a Normal distribution.
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Copyright (c) 2003 Economia Aplicada
Este trabalho está licenciado sob uma licença Creative Commons Attribution-NonCommercial 4.0 International License.