An Evaluation of Black &Scholes Model Application for Pricing of Future Options of Arabic Coffee from BM&F. / Uma Avaliação da Aplicação do Modelo de Black &Scholes para Precificação de Opções de Futuro de Café Arábica da BM&F.

AUTOR(ES)
DATA DE PUBLICAÇÃO

2003

RESUMO

Options in future markets is a theme still with little exploration by the studious, concerned to practical work published, mainly in Brazilian Literature. In this work it has been tried to show the importance of volatility in pricing of options when applied to Black &Scholes Model. A first analysis was taken, a study of derivatives, defined as titles which values depend on other more basic variables, where the four more used types were concieved: forward contracts, swap contracts, the future and the options ones. A future contract consists in the obrigation of buying and selling an active in certain future time for a certain price. There are two types of options: call and put. A call gives its holders the right to buy an active in a settled date for a certain price and one put, the right to sell. Weve emphasized the options markets, defining a future option as an option about a future contract. The partners of these markets are the hedgers, the speculators and the arbitrators. The options have been defined inside the money, on money and out of money, which shows as differential an intrinsic value definition. The basic factors that affect the price of options about futures are, besides the volatility of future price, the future price itself, the price of exercise and the time for due date. The volatility is a very important factor, because it measures the variation of future prices with the time. It has been presented an equation of Black to the use in pricing of future contracts and it has been used the Arabic Coffee as the farming commodity object of our investigation. The calculus of premium, defined as price paid by the buyer of the options contract, has been calculated according to the results found in the application of the three methods of volatility calculus: the historic volatility which is the one that uses historic series of prices; the volatility by moving average which is the one found through an aritimetic average in a certain period of time (n days of negotiation and the implicit volatility that is an estimation of volatility which is on the level with market price. Chapter 3 has analysed all the calculus process, through treatment of data in annexes 04 to 12, describing all the mechanism used in preparing these spread sheets. From the results found, it has been concluded that the best way to be used in option pricing in Black &Scholes Model is the one of implicit volatility.

ASSUNTO(S)

volatility opções em mercados futuros agropecuários modelo de black &scholes. administracao options in farming future markets volatilidade

ACESSO AO ARTIGO

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