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  • 标题:Market Risk and Volatility in the Brazilian Stock Market
  • 本地全文:下载
  • 作者:Yoshino, Joe Akira
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2003
  • 页码:385-403
  • 出版社:Food Distribution Research Society
  • 摘要:We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the PDF nor that volatility remains constant.
  • 关键词:Arrow-Debreu contingent claim;options;Black-Scholes;market risk;volatility;Brazilian stock market
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