38933

Paulo Roberto Lima Dias Filho
Luciana de Souza Lima
Antonio Carlos Figueiredo Pinto
Marcelo Cabus Klotzle
Vinicius Mothé Maia

Revista de Gestão, Finanças e Contabilidade

Within the theme of the use of implied volatility rather than the historical volatility, the present study sought to compare the performance of the Black-Scholes model, widely studied in Brazil and around the world, with the model of Implied Trinomial Tree relatively unexploited by national surveys. Because of the implied trinomial tree provides greater freedom of choice of the underlying prices of the nodes of the tree in the spaces of state and leaves only the transition probability be restricted by market prices, it is expected a more accurate valuation of the option price. In this vein, it sought to analyze the advantages and disadvantages of the model and its application to the Brazilian stock market. Because it is a model little studied in Brazil, this empirical research was classified as exploratory and relied on a survey bibliography to situate the reader in the state of the art that is the studied subject. The results suggest that to obtain theoretical prices close to market values, an accurate calculation of the "smile" in volatility is required.

Implied Trinomial Tree, Implied Volatility, Option Pricing

DIAS FILHO, P. R. L.; LIMA, L. S.; PINTO, A. C. F.; KLOTZLE, M. C.; MAIA, V. M. Apreçamento de Opções Através do Modelo de Árvore Trinomial Implícita: uma Aplicação na Vale e na Petrobrás . Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 64-82, 2015.

Dias Filho, P. R. L., Lima, L. S., Pinto, A. C. F., Klotzle, M. C., & Maia, V. M. (2015). Apreçamento de Opções Através do Modelo de Árvore Trinomial Implícita: uma Aplicação na Vale e na Petrobrás . Revista de Gestão, Finanças e Contabilidade, 5(4), 64-82.

http://dx.doi.org/10.18028/2238-5320/rgfc.v5n4p64-82

https://www.spell.org.br/documentos/ver/38933/option-pricing-using-the-implied-trinomial-tree-model--an-application-in-vale--and-petrobras--/i/en

Artigo

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