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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Exponential model for option prices: Application to the Brazilian market

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Author(s):
Ramos, Antonio M. T. [1, 2] ; Carvalho, J. A. [3] ; Vasconcelos, G. L. [4]
Total Authors: 3
Affiliation:
[1] Natl Inst Space Res INPE, BR-12227010 Sao Jose Dos Campos, SP - Brazil
[2] Potsdam Inst Climate Impact Res, D-14473 Potsdam - Germany
[3] Fundacao Armando Alvares Penteado, BR-01242902 Sao Paulo, SP - Brazil
[4] Univ Fed Pernambuco, Dept Fis, BR-50670901 Recife, PE - Brazil
Total Affiliations: 4
Document type: Journal article
Source: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS; v. 445, p. 161-168, MAR 1 2016.
Web of Science Citations: 1
Abstract

In this paper we report an empirical analysis of the Ibovespa index of the Sao Paulo Stock Exchange and its respective option contracts. We compare the empirical data on the Ibovespa options with two option pricing models, namely the standard Black-Scholes model and an empirical model that assumes that the returns are exponentially distributed. It is found that at times near the option expiration date the exponential model performs better than the Black-Scholes model, in the sense that it fits the empirical data better than does the latter model. (C) 2015 Elsevier B.V. All rights reserved. (AU)

FAPESP's process: 14/14229-2 - Non-linear and chaotic dynamics with spatial distribution and their characterization by using the complex network approach
Grantee:Antônio Mário de Torres Ramos
Support type: Scholarships in Brazil - Post-Doctorate
FAPESP's process: 15/07373-2 - Development of quantifiers through Information Theory techniques and probabilistic graphical models with application in the Amazon Region
Grantee:Antônio Mário de Torres Ramos
Support type: Scholarships abroad - Research Internship - Post-doctor