文章基本信息

标题：OPTION PRICING USING THE IMPLIED TRINOMIAL TREE MODEL: NA APPLICATION IN VALE AND PETROBRÁS
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作者：Paulo Roberto Lima Dias Filho ; Luciana Lima ; Antonio Carlos Figueiredo Pinto 等
期刊名称：Revista de Gestão, Finanças e Contabilidade
印刷版ISSN：2238-5320
出版年度：2015
卷号：5
期号：4
页码：64-82
语种：
出版社：University of State of Bahia
摘要：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.