Data/hora: 06/06/2024 05:21:01

Provedor de dados: | 31
País: | United States
Título: | Market Risk and Volatility in the Brazilian Stock Market
Autores: | Yoshino,   Joe Akira.
Data: | 2008-10-08
Ano: | 2003
Palavras-chave: | Arrow-Debreu contingent claim; Options; Black-Scholes; Market risk; Volatility; Brazilian stock market; Risk and Uncertainty; Marketing; G12; G13.
Resumo: | We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the PDF nor that volatility remains constant.
Tipo: | Journal Article
Idioma: | Inglês

Identificador:

Print ISSN 1514-0326

Online ISSN 1667-6726

http://purl.umn.edu/44000

Relação: | Journal of Applied Economics&gt;Volume 6, Number 2, November 2003
Formato: | 19