VALUATION OF AN OPTION OVER A FUTURE CONTRACT / VALORAÇÃO DE UMA OPÇÃO SOBRE UM CONTRATO FUTURO

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The object of this work is to develop a model based on techniques of simulation and binomial tree to valuate a call option over a future contract. The tool will be based on the theory of derivatives and stochastic processes to simulate the behavior of the active object. The model Black, Derman &Toy uses binomial tree to construct future possibilities of exercise of the option. This model is classified of not arbitration because it uses the yeld curve as initial information to valuate derivatives of interests. The model of Vasicek is classified as balance model because it assumes that the random process of the tax of interests has one factor of uncertainty simulated for the Monte method Carlo. The work developed is a model of one factor which all the structure the term of the tax of interests is explained by the evolution of the tax of interests spot.

ASSUNTO(S)

volatilidade term structure derivatives derivativos estrutura a termo volatility

ACESSO AO ARTIGO

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