ANALYSIS OF REFERENCE OPTION PREMIUMS OF THE BRAZILIAN FUTURES EXCHANGE

This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. Therefore, analysis scenarios were cre...

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Veröffentlicht in:	Revista Gestão, finanças e contabilidade finanças e contabilidade, 2017-05, Vol.7 (2), p.44
Hauptverfasser:	André Giudice de Oliveira, Vinicius Mothé Maia, Figueiredo Pinto, Antonio Carlos, Klotzle, Marcelo Cabús, Luiz Felipe Jarques da Motta
Format:	Artikel
Sprache:	eng
Schlagworte:	Futures exchanges Premiums Put & call options Stock market indexes
Online-Zugang:	Volltext
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