Precificação de opções de commodities agropecuárias no Brasil: o caso do café arábica

• Autor(a) principal: Leite, Dalton Rodrigues da Silva
• Data de Publicação: 2001
• Outros Autores: Marlines Filho, João Gomes, Bacha, Carlos José Caetano
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Economia Aplicada
• Texto Completo: https://www.revistas.usp.br/ecoa/article/view/218832
• topic: pricing options models; coffee; Brazil

This paper compares and tests options pricing models to the actual premiums on the coffee options on futures contract negotiated at Bolsa de Mercadorias & Futuros. It uses data on the contracts with expiration date from February 1997 through August 1999. The results show that the Black's model, using the implicit volatility as a forecast ofthe future volatility, is the bestto represent the actual premiums ofthe options market on the coffee future contracts. However in an exppost analysis, it is the historical volatility procedure that best fits the actual volatility ofthe options. Since options premiums were overpriced under this period of analysis, we find that short positions were more profitable than long positions.