ANALYSIS OF REFERENCE OPTION PREMIUMS OF THE BRAZILIAN FUTURES EXCHANGE

Authors

  • André Giudice de Oliveira
  • Vinicius Mothé Maia IAG/PUC-Rio
  • Antonio Carlos Figueiredo Pinto
  • Marcelo Cabús Klotzle
  • Luiz Felipe Jarques da Motta

DOI:

https://doi.org/10.18028/rgfc.v7i2.2886

Keywords:

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

Abstract

This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen 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.

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Author Biographies

André Giudice de Oliveira

Mestre em Administração - IAG/PUC-Rio

Vinicius Mothé Maia, IAG/PUC-Rio

Doutorando IAG/PUC-Rio e Prof. do curso de Ciências Contábeis FACC/UFRJ.

http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4326707T1

Antonio Carlos Figueiredo Pinto

Doutor em Economia e Prof. do Quadro Principal IAG/PUC-Rio.

http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4701597Z2

Marcelo Cabús Klotzle

Doutor em Economia e Prof. do Quadro Principal IAG/PUC-Rio.

http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4700491A9

Luiz Felipe Jarques da Motta

Doutor em Administração e Prof. do Quadro Principal IAG/PUC-Rio.

http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4787662Y4

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Published

2017-03-14

Issue

Section

Artigos