Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)

Detalhes bibliográficos
Autor(a) principal: Souza,Giuliano Carrozza Uzêda Iorio de
Data de Publicação: 2011
Outros Autores: Samanez,Carlos Patrício, Raposo,Gustavo Santos, Gonçalves,Antonio Carlos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Pesquisa operacional (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000200001
Resumo: This article presents a practical case in which two of the most efficient numerical procedures developed for derivative analysis are applied to evaluate the POP (Investment Protection with Participation), a structured operation created by São Paulo Stock Exchange - BM&FBOVESPA. The first procedure solves the differential equation through the use of implicit finite differences method. Due to its characteristics, the approach makes it possible to run sensitivity analysis as well as price estimation. In the second, the problem is solved by Monte Carlo simulation, which facilitates the identification of the probability related to the exercise of the embedded options.
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spelling Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)numerical methodssimulationderivativesThis article presents a practical case in which two of the most efficient numerical procedures developed for derivative analysis are applied to evaluate the POP (Investment Protection with Participation), a structured operation created by São Paulo Stock Exchange - BM&FBOVESPA. The first procedure solves the differential equation through the use of implicit finite differences method. Due to its characteristics, the approach makes it possible to run sensitivity analysis as well as price estimation. In the second, the problem is solved by Monte Carlo simulation, which facilitates the identification of the probability related to the exercise of the embedded options.Sociedade Brasileira de Pesquisa Operacional2011-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000200001Pesquisa Operacional v.31 n.2 2011reponame:Pesquisa operacional (Online)instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)instacron:SOBRAPO10.1590/S0101-74382011000200001info:eu-repo/semantics/openAccessSouza,Giuliano Carrozza Uzêda Iorio deSamanez,Carlos PatrícioRaposo,Gustavo SantosGonçalves,Antonio Carloseng2011-08-05T00:00:00Zoai:scielo:S0101-74382011000200001Revistahttp://www.scielo.br/popehttps://old.scielo.br/oai/scielo-oai.php||sobrapo@sobrapo.org.br1678-51420101-7438opendoar:2011-08-05T00:00Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)false
dc.title.none.fl_str_mv Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
title Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
spellingShingle Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
Souza,Giuliano Carrozza Uzêda Iorio de
numerical methods
simulation
derivatives
title_short Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
title_full Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
title_fullStr Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
title_full_unstemmed Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
title_sort Application of numerical methods, derivatives theory and Monte Carlo simulation in evaluating BM&F BOVESPA's POP (Protected and Participative Investment)
author Souza,Giuliano Carrozza Uzêda Iorio de
author_facet Souza,Giuliano Carrozza Uzêda Iorio de
Samanez,Carlos Patrício
Raposo,Gustavo Santos
Gonçalves,Antonio Carlos
author_role author
author2 Samanez,Carlos Patrício
Raposo,Gustavo Santos
Gonçalves,Antonio Carlos
author2_role author
author
author
dc.contributor.author.fl_str_mv Souza,Giuliano Carrozza Uzêda Iorio de
Samanez,Carlos Patrício
Raposo,Gustavo Santos
Gonçalves,Antonio Carlos
dc.subject.por.fl_str_mv numerical methods
simulation
derivatives
topic numerical methods
simulation
derivatives
description This article presents a practical case in which two of the most efficient numerical procedures developed for derivative analysis are applied to evaluate the POP (Investment Protection with Participation), a structured operation created by São Paulo Stock Exchange - BM&FBOVESPA. The first procedure solves the differential equation through the use of implicit finite differences method. Due to its characteristics, the approach makes it possible to run sensitivity analysis as well as price estimation. In the second, the problem is solved by Monte Carlo simulation, which facilitates the identification of the probability related to the exercise of the embedded options.
publishDate 2011
dc.date.none.fl_str_mv 2011-08-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000200001
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000200001
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0101-74382011000200001
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
dc.source.none.fl_str_mv Pesquisa Operacional v.31 n.2 2011
reponame:Pesquisa operacional (Online)
instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron:SOBRAPO
instname_str Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron_str SOBRAPO
institution SOBRAPO
reponame_str Pesquisa operacional (Online)
collection Pesquisa operacional (Online)
repository.name.fl_str_mv Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
repository.mail.fl_str_mv ||sobrapo@sobrapo.org.br
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