Equivalent martingale measures and Lévy processes

Fajardo, José

doi:10.1590/s0034-71402006000400002

Cited by 2 publications

(2 citation statements)

References 15 publications

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“…O leitor interessado neste tipo de problema pode dispor de uma metodologia, que permite encontrar estas medidas, em Fajardo (2004). Infelizmente, a implementação requer uma base de dados substancial que permita a estimação dos parâ-metros, e que não existe atualmente no Brasil, dado o baixo volume de operações.…”

Section: Conclusõesunclassified

Apreçamento de derivativos bidimensionais

Azevedo¹,

Fajardo²

2005

Econ. Apl.

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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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Section: Conclusõesunclassified

Apreçamento de derivativos bidimensionais

Azevedo¹,

Fajardo²

2005

Econ. Apl.

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“…(1998)) or (Fajardo (2006)). Lévy process is a simple Markov process with jumps which allow us to capture asset returns without the necessity of introducing extreme parameter values by (Fajardo (2006, p.353)).…”

Section: Introductionmentioning

confidence: 99%

Pure -Jump Levy Processes and Self-decomposability in Financial Modeling

Önalan¹

2011

JMR

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In this study, we review the connections between Lévy processes with jumps and self-decomposable laws. Self-decomposable laws constitute a subclass of infinitely divisible laws. Lévy processes additive processes and independent increments can be related using self-similarity property. Sato (1991) defined additive processes as a generalization of Lévy processes. In this way, additive processes are those processes with inhomogeneous (in general) and independent increments and Lévy processes correspond with the particular case in which the increments are time homogeneous. Hence Lévy processes are considerable as a particular type. Self-decomposable distributions occur as limit law an Ornstein-Uhlenbeck type process associated with a background driving Lévy process. Finally as an application, asset returns are representing by a normal inverse Gaussian process. Then to test applicability of this representation, we use the nonparametric threshold estimator of the quadratic variation, proposed by Cont and Mancini (2007).

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Equivalent martingale measures and Lévy processes

Cited by 2 publications

References 15 publications

Apreçamento de derivativos bidimensionais

Apreçamento de derivativos bidimensionais

Pure -Jump Levy Processes and Self-decomposability in Financial Modeling

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