Swap De Volatilidade
Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. Futuros de swap de variância e volatilidade na BM&F - apreçamento e viabilidade de hedge / Variance and volatility swaps future contracts in BM&F pricing and hedge viability
A variance swap can theoretically be priced with na infinite string of vanilla call and put options if we consider that realized variance follows a purely diffusive process with continuous monitoring. In this dissertation, we will address the possible pricing differences that may arise if we consider that realized variance is discretely monitored. It will be
Publicado em: 2009
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2. 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