Precificação de opções sobre IDI com preço de mercado de risco variável

• Ano de defesa: 2017
• Autor(a) principal: Borges, Ricardo José da Costa Silva
• Orientador(a): Pessoa, Marcelo de Sales
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Opções sobre IDI; Derivativos de taxas de juros; Precificação de derivativos
• Link de acesso: https://hdl.handle.net/10438/18426

This work applies an empirical interest rate model to the method of pricing fixed income index options developed in Barbachan and Ornelas (2003). This model is based on the article by Ahmad and Wilmott (2006). Specifically, in this article, options on the Average Interbank Deposit Rate (IDI) are evaluated. Usually these options are evaluated through the model of Black (1976) by the Brazilian market. However, the theory of Black (1976) is not adequate for the pricing of interest rate derivatives, mainly due to the non-observation of the normality of the returns of the target asset. This work, in addition to updating the results found by Barbachan and Ornelas (2003), has, for objective, to counter some hypotheses of parameters assumed by these authors. In this sense, the modeling of Ahmad and Wilmott (2006) is used to estimate the market price of risk and it is observed that there is variation in this parameter that was not used by Barbachan and Ornelas (2003). For the estimation of the other parameters, it was based on historical data. Finally, the results are compared with market prices. However, no conclusive results were achieved, because the values reached contradict what the theory would bring expected results for the price of these options.