46065

Andre Giudice de Oliveira
Vinicius Mothé Maia
Antonio Carlos Figueiredo Pinto
Marcelo Cabus Klotzle

Revista de Gestão, Finanças e Contabilidade

This paper compares the BM&FBovespa reference option premiums with the GarmanKohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. Therefore, analysis scenarios were created and their results compared with the reference option premiums calculated by BM&FBovespa from January 2006 to November 2014. The results show that the reference option premiums calculated by BM&FBovespa are overvalued for dollar options. Regarding Ibovespa's future options, Merton's jump-diffusion model points to undervalued call premiums and overestimated put premiums. The discrepancy between the main estimation methods of the options and reference option premiums calculated by the stock exchange serves as a warning to investors who use reference option premiums in calculating their performance, due to the difficulty of measuring these values.

Black Model, Corrado-Su Modified Model, Dollar Options, Ibovespa Futures Options, Merton Jump-Diffusion Model

OLIVEIRA, A. G.; MAIA, V. M.; PINTO, A. C. F.; KLOTZLE, M. C. Analysis of Reference Option Premiums of the Brazilian Futures Exchange . Revista de Gestão, Finanças e Contabilidade, v. 7, n. 2, p. 44-64, 2017.

Oliveira, A. G., Maia, V. M., Pinto, A. C. F., & Klotzle, M. C. (2017). Analysis of Reference Option Premiums of the Brazilian Futures Exchange . Revista de Gestão, Finanças e Contabilidade, 7(2), 44-64.

http://dx.doi.org/10.18028/2238-5320/ rgfc.v7n2p44-64

https://www.spell.org.br/documentos/ver/46065/analysis-of-reference-option-premiums-of-the-brazilian-futures-exchange---/i/en

Artigo

Inglês

BERNADELLI, L. V.; BERNADELLI, A. G.; CASTRO, G. H. L. A influência das variáveis macroeconômicas e do índice de expectativas no mercado acionário brasileiro: uma análise empírica para os anos de 1995-2015. Revista de Gestão, Finanças e Contabilidade, v. 7, n.1, p. 78-96, 2017. doi: 10.18028/2238-5320/rgfc.v7n1p78-96.

BHARGAVA, V.; BROOKS, R.; MALHOTRA, D. K. Implied Volatilities, Stochastic Interest Rates, and Currency Futures Options Valuation: An Empirical Investigation. The European Journal of Finance, v. 7, n. 3, p. 231-246, 2001. doi: 10.1080/13518470121944

BLACK, F.; SCHOLES M. The Pricing of Options and Corporate Liabilities. The Journal of Political Economy, v. 81, n. 3, p. 637-654, 1973. doi: 10.1086/260062

BLACK, F.; SCHOLES M. The Valuation of Option Contracts and a test of Market Efficiency, Journal of Finance, v. 27, n. 2, p. 399-417, 1972. doi: 10.2307/2978484

BLACK, F. The Pricing of Commodity Contracts. Journal of Financial Economics, v. 3, n. 1-2, p. 167-179, 1976. doi: 10.1016/0304-405X(76)90024-6

BOLLERSLEV, T. Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, v. 31, n. 3, p. 307-27, 1986. doi:10.1016/0304-4076(86)90063-1

BOLSA DE MERCADORIA E FUTUROS (BM&F). Mercado Futuro de Cupom Cambial, São Paulo: BM&F, 15 p., 2007.

BROWN, C. A.; ROBINSON, D. M. Skewness and Kurtosis Implied by Option Prices: A Correction. Journal of Financial Research, v. 25, n. 2, 279-282, 2002. doi: 10.1111/14756803.t01-1-00008

CANABARRO, E. Avaliação de opções de compra quando o processo de preços da açãoobjeto é descontínuo: Evidência empírica no Brasil. (Dissertação de Mestrado). Universidade Federal do Rio Grande do Sul, Porto Alegre, RS, Brasil, 2008.

CORRADO, C. J.; SU, T. Skewness and Kurtosis in S&P 500 Index Returns Implied by Options Prices. Journal of Financial Research, v. 19, n. 2, p. 175-192, 1996. doi: 10.1111/j.1475-6803.1996.tb00592.x

COSTA, M. N.; YOSHINO, J. A. Calibração do modelo de Heston para o mercado brasileiro de opções de câmbio (FX). Revista Brasileira de Finanças, v. 2, n. 1, p. 23-46, 2004.

COUTINHO, J. R. R.; SHENG, H. H.; LORA, M. I. The Use of Fx Derivatives and the Cost of Capital: Evidence of Brazilian Companies. Emerging Markets Review, v. 13, n. 4, p. 411-423, 2012. doi: 10.2139/ssrn.1930154

CUNHA JR., D.; LEMGRUBER, E. F. Opções de dólar no Brasil com taxas de juro e de cupom estocásticos. Anais Encontro Brasileiro de Finanças, São Paulo, SP, Brasil, 3, 2003.

EKVALL, N.; JENNERGREN, L. P.; NÄSLUND, B. Currency Option Pricing with Mean Reversion and Uncovered Interest Parity: A Revision of the Garman-Kohlhagen Model. European Journal of Operational Research, v. 100, n. 1, p. 41-59, 1997. doi: 10.1016/S0377-2217(95)00366-5

ENGLE, R. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, v. 50, n. 4, p. 987-1008, 1982. doi: 10.2307/1912773

FARHI, M. Derivativos financeiros: hedge, especulação e arbitragem. Revista Economia e Sociedade, Campinas, v. 13, p. 93-114, 1999.

FIGUEIREDO, A. C. Introdução aos Derivativos. São Paulo: Cengage Learning. 2 ed. 168 p, 2010.

GARMAN, M. B.; KOHLHAGEN, S. W. Foreign Currency Option Values. Journal of International Money and Finance, v. 2, n. 3, p. 231-237, 1983. doi: 10.1016/S02615606(83)80001-1

HESTON, S. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, v. 6, n. 2, p. 327-343, 1993. doi: 10.1093/rfs/6.2.327

HULL, J. C. Options, Futures and Other Derivatives. New Jersey, Prentice Hall, 789 p, 2006.

HULL, J.; WHITE, A. The Pricing of Options on Assets with Stochastic Volatilities. The Journal of Finance, v. 42, n. 2, p. 281-300, 1987. doi: 10.1111/j.1540-6261.1987.tb02568.x

JARQUE, C. M.; BERA, A. K. A Test for Normality of Observations and Regression Residuals. International Statistical Review, v. 55, n. 2, p. 163-172, 1987. doi: 10.2307/1403192

JURCZENKO, E.; MAILLET, B.; NEGREA, B. A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction. Quantitative Finance, v. 4, n. 5, p. 479 - 488, 2004. doi: 10.1080/14697680400000032

LOPES, J. L. G.; SCHIOZER, R. F.; SHENG, H. H. Hedge e especulação com derivativos cambiais: Evidências de operações cotidianas. Revista de Administração Contemporânea, v. 17, n. 4, p. 438-458, 2013. doi: 10.1590/S1415-65552013000400004

MERTON, R. C. Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Financial Economics, v. 3, n. 1-2, p. 125-144, 1976. doi: 10.1016/0304-405X(76)90022-2

MERTON, R. C. Theory of Rational Option Pricing. The Bell Journal of Economics and Management Science, v. 4, n. 1, p. 141-183, 1973. doi: 10.2307/3003143

OFFICER, R. R. The Variability of the Market Factor of the NYSE. Journal of Business, v. 46, n. 3, p. 434-53, 1973.

SHAPIRO, S. S.; WILK, M. B. An Analysis of Variance Test for Normality (complete samples). Biometrika, v. 53, n. 3-4, p. 591-611, 1965. doi: 10.1093/biomet/52.3-4.591

SPIEGEL, M. R. Estatística. Coleção Schaum. Editora McGraw-Hill do Brasil. 1973.

STEIN, E. M.; STEIN, J. C. Stock Price Distributions with Stochastic Volatility: An Analytic Approach. Review of Financial Studies, v. 4, n. 4, p. 727-752, 1991. doi: 10.1093/rfs/4.4.727

WIGGINS, J. B. Option Values under Stochastic Volatility: Theory and Empirical Estimates. Journal of Financial Economics, v. 19, n. 2, p. 351-372, 1987. doi:10.1016/0304405X(87)90009-2