Aplicabilidade dos modelos de precificação para as opções sobre contratos futuros de café arábica na BM&FBOVESPA

• Ano de defesa: 2009
• Autor(a) principal: Tonin, Julyerme Matheus
• Orientador(a): Coelho, Alexandre Bragança
• Banca de defesa: Mattos, Leonardo Bornacki de , Lírio, Viviani Silva , Silveira, Suely de Fátima Ramos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Viçosa
• Programa de Pós-Graduação: Mestrado em Economia Aplicada
• Departamento: Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos
• País: BR
• Palavras-chave em Português: Precificação; Opções; Café arábica
• Palavras-chave em Inglês: Pricing; Options; Coffea arabica
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS::ECONOMIA AGRARIA
• Link de acesso: http://locus.ufv.br/handle/123456789/31

The coffee productive sector alongside its historical relevance, has featured by the acquirement of high production technology in the cropping process and also by the recent changes in institutional compass. The overture of trading and the lack of specific directions in the sector has given way to a new insight in which governmental regulation wanting paves the way for a quest of newly developed instruments for risks management which turned out to be a constant concern of the agents engaged in the coffee productive sector. In this sense the massive increase in the importance of the derivatives in recent period, particularly in the options market makes of this instrument an outstanding applicant to meet the demands for the reduction of pricing risks in this sector. Since the options market is thought of as a hedge held against prices unsteadiness which unsteadiness might lead to contingent losses it is shaped up as an insurance service. It sets forth that the rights to buy or sell are brought out by the payment of a premium beforehand, this current study aims for the assessment of whether the several sorts of methodologies largely employed in a great deal of financial assets are effective in the pricing of options on future contracts of coffea Arabica. Inasmuch as the employment of this risk management tool is still unusual in Brazil there has been an effort to analyze the volatility, maturity timing, and the moneyness degree; in other words the variables employed in the pricing to sort out the effects of these factors and the occurrence of systemic deviations, in order to provide relevant informations so that a bigger number of agents may get hold of these tools, enhances market liquidity. The results point out that the more complex modelling less spread in the market such as Barone Adesi and Whaley model; Bjerksund and Stensland model and trinomial model display a slight betterment in pricing when compared to traditional modellings such as Black s formula and binomial model, respectively. As for the employment of several sorts of volatility extraction techniques it has had as a main result a substancial improvement in terms of pricing, stressing the positive results of implied volatility against historical volatility. The liquidity problem in the coffee future market has been partly solved with the weighing of implied volatility, noticing a reduction in pricing failures for the option calls nonetheless this did not occur to the so called put options. Finally , this research takes in account a wide spread analysis, employing sundry pricing modellings, using different sets of calculus of volatility, analyzing the results in distinct periods of maturing working out as an efficacious basis so that new agents may assimilate the contracts of options on to their risk management strategies and become acquainted with the existing pricing methods.