No abstract
RESUMONeste artigo analisamos o apreçamento de contratos que tenham seus resultados atrelados a mais de um ativo subjacente, em especial, opções bidimensionais. Para isto usamos a fórmula desenvolvida por Margrabe (1978) e o modelo de árvores de Rubinstein (1991a). Em seguida apresentamos exemplos práticos de opções bidimensionais e apreçamos estas opções. Além disto, sugerimos a incorporação de outros instrumentos, negociados no exterior, ao mercado de derivativos brasileiro.Palavras-chave: apreçamento de derivativos, opções bidimensionais, opções de Margrabe. ABSTRACTIn this article we analyze the pricing of contracts that have their payoffs linked to more than one underlying asset, in special, bidimensional options. To achieve this purpose we use the formula developed by Margrabe (1978) and the tree model of Rubinstein (1991a). Next, we present practical examples of bidimensional options and price these options. Moreover we suggest the incorporation of two other instruments, negotiated abroad, to the Brazilian derivative markets
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