Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
AUTOR(ES)
Souza, Giuliano Carrozza Uzêda Iorio de, Samanez, Carlos Patrício, Raposo, Gustavo Santos, Gonçalves, Antonio Carlos
FONTE
Pesquisa Operacional
DATA DE PUBLICAÇÃO
2011-08
RESUMO
This article presents a practical case in which two of the most efficient numerical procedures developed for derivative analysis are applied to evaluate the POP (Investment Protection with Participation), a structured operation created by São Paulo Stock Exchange - BM&FBOVESPA. The first procedure solves the differential equation through the use of implicit finite differences method. Due to its characteristics, the approach makes it possible to run sensitivity analysis as well as price estimation. In the second, the problem is solved by Monte Carlo simulation, which facilitates the identification of the probability related to the exercise of the embedded options.
Documentos Relacionados
- Análise do modelo de três fatores aplicado à BM&F Bovespa
- Legitimidade, governança corporativa e desempenho: análise das empresas da BM&F Bovespa
- EMPRESAS ESTATAIS E CONSERVADORISMO CONTÁBIL: UMA ANÁLISE DAS EMPRESAS DA BM&F BOVESPA
- Futuros de swap de variância e volatilidade na BM&F - apreçamento e viabilidade de hedge
- Contratos padronizados de taxa de câmbio BM&F : alternativas existentes