O Método binomial para precificação de opções europeias
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Data
2015-11
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Orientador(res)
Silva, Moacyr Alvim Horta Barbosa da
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Resumo
The main objective of this final project is studying the simplicity and the huge efficiency of the Binomial Model, that can price European options very well, knowing the variables which affect this price, as the asset value, its volatility, the risk-neutral rate and the contract time expiration. Developing this project with a background in the “balance”among the risks, expectations and objectives of an investor, important financial concepts are presented here. The “Hedging”Strategy and the Non-Arbitrage Principle are good examples. It is noteworthy that, tending to the limit of the time, the Binomial Method converges to the famous Black-Scholes PDE, concluding that the value of an option varies only with the asset price and the time to its maturity. Due to the B&S PDE complexity, it is shown, finally, that known numerical methods can be modified to make it more simple and easy to solve