Avaliação de métodos numéricos para precificação de derivativos: aplicação ao mercado brasileiro / Numerical evaluation methods for pricing of derivatives : application to the brazilian market

AUTOR(ES)
DATA DE PUBLICAÇÃO

24/11/2005

RESUMO

The goal of this work is twofold: (i) to review numerical methods to price derivatives; (ii) to compare numerical methods assuming that market prices are reflected in the Black and Scholes formula. We apply these models to price call option on Telebrás shares. Accuracy and computational costs were used to compare the following methods: binomial, Monte Carlo, and finite difference. Our results indicate the good accuracy at low cost for binomial methods, followed by Monte Carlo and finite difference methods. However, Monte Carlo could be used when the derivative depends on two or more underlying assets. In addition, finite difference method should be used when the solution for the partial differential equation whose solution is the derivative price.

ASSUNTO(S)

derivativos métodos numéricos monte carlo diferenças finitas binomial

ACESSO AO ARTIGO

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