Hedge em carteiras de opções exóticas no Brasil
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/13136 |
Resumo: | The goal of this work is to assess the empirical performance of some hedging strategies in the Brazilian derivative market. In particular, we entertain a portfolio of exotic options with knock-in and knock-out barriers. Apart from the traditional static and dynamic hedging, we also employ a hybrid strategy that combines both static and dynamic features. The empirical results show that all strategies perform statistically well, though the hybrid hedging is more efficient for it combines the accuracy of the dynamic hedging with the reduced transaction costs of the static hedging. |
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Nascimento, William LopesEscolas::EESPPinto, Afonso de CamposSilva, Marcos Eugênio daFernandes, Marcelo2015-01-27T16:58:19Z2015-01-27T16:58:19Z2015-01-16NASCIMENTO, William Lopes. Hedge em carteiras de opções exóticas no Brasil. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.http://hdl.handle.net/10438/13136The goal of this work is to assess the empirical performance of some hedging strategies in the Brazilian derivative market. In particular, we entertain a portfolio of exotic options with knock-in and knock-out barriers. Apart from the traditional static and dynamic hedging, we also employ a hybrid strategy that combines both static and dynamic features. The empirical results show that all strategies perform statistically well, though the hybrid hedging is more efficient for it combines the accuracy of the dynamic hedging with the reduced transaction costs of the static hedging.O objetivo do trabalho é efetuar uma análise empírica de estratégias de hedge no mercado brasileiro de derivativos. Em particular, consideramos uma carteira de opções exóticas com barreira do tipo knock-in e knock-out. Além das tradicionais estratégias de hedge estático e dinâmico, propomos também uma abordagem alternativa definida por uma estratégia híbrida de hedge. Os resultados apontam que todas as estratégias são eficazes do ponto de vista estatístico, porém a abordagem híbrida é a mais eficiente, combinando a precisão da dinâmica com os menores custos da estática.porHedgingDerivativesExotic optionHedgeEconomiaDerivativos (Finanças)Opções exóticas (Finanças)Hedge em carteiras de opções exóticas no Brasilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALHedge em Carteiras de Opções Exóticas no Brasil.pdfHedge em Carteiras de Opções Exóticas no Brasil.pdfDissertação de Mestradoapplication/pdf1012800https://repositorio.fgv.br/bitstreams/20525485-ffb3-415b-b767-083f34cb488b/download487bfc3073181afbade0c9113a05f638MD53LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv |
Hedge em carteiras de opções exóticas no Brasil |
title |
Hedge em carteiras de opções exóticas no Brasil |
spellingShingle |
Hedge em carteiras de opções exóticas no Brasil Nascimento, William Lopes Hedging Derivatives Exotic option Hedge Economia Derivativos (Finanças) Opções exóticas (Finanças) |
title_short |
Hedge em carteiras de opções exóticas no Brasil |
title_full |
Hedge em carteiras de opções exóticas no Brasil |
title_fullStr |
Hedge em carteiras de opções exóticas no Brasil |
title_full_unstemmed |
Hedge em carteiras de opções exóticas no Brasil |
title_sort |
Hedge em carteiras de opções exóticas no Brasil |
author |
Nascimento, William Lopes |
author_facet |
Nascimento, William Lopes |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Pinto, Afonso de Campos Silva, Marcos Eugênio da |
dc.contributor.author.fl_str_mv |
Nascimento, William Lopes |
dc.contributor.advisor1.fl_str_mv |
Fernandes, Marcelo |
contributor_str_mv |
Fernandes, Marcelo |
dc.subject.por.fl_str_mv |
Hedging Derivatives Exotic option Hedge |
topic |
Hedging Derivatives Exotic option Hedge Economia Derivativos (Finanças) Opções exóticas (Finanças) |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Derivativos (Finanças) Opções exóticas (Finanças) |
description |
The goal of this work is to assess the empirical performance of some hedging strategies in the Brazilian derivative market. In particular, we entertain a portfolio of exotic options with knock-in and knock-out barriers. Apart from the traditional static and dynamic hedging, we also employ a hybrid strategy that combines both static and dynamic features. The empirical results show that all strategies perform statistically well, though the hybrid hedging is more efficient for it combines the accuracy of the dynamic hedging with the reduced transaction costs of the static hedging. |
publishDate |
2015 |
dc.date.accessioned.fl_str_mv |
2015-01-27T16:58:19Z |
dc.date.available.fl_str_mv |
2015-01-27T16:58:19Z |
dc.date.issued.fl_str_mv |
2015-01-16 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
NASCIMENTO, William Lopes. Hedge em carteiras de opções exóticas no Brasil. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/13136 |
identifier_str_mv |
NASCIMENTO, William Lopes. Hedge em carteiras de opções exóticas no Brasil. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
url |
http://hdl.handle.net/10438/13136 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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