Apreçamento de derivativos bidimensionais

Authors

  • Hugo Daniel de Oliveira Azevedo IBMEC
  • José Santiago Fajardo Barbachan IBMEC

DOI:

https://doi.org/10.1590/S1413-80502005000300003

Keywords:

derivative pricing, bidimensional options, Margrabe options

Abstract

In this article we analyze the pricing of contracts that have their payoffs linked to more than one underlying asset, in special, bidimensional options. To achieve this purpose we use the formula developed by Margrabe (1978) and the tree model of Rubinstein (1991a). Next, we present practical examples of bidimensional options and price these options. Moreover we suggest the incorporation of two other instruments, negotiated abroad, to the Brazilian derivative markets

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Published

2005-09-01

Issue

Vol. 9 No. 3 (2005)

Section

Papers

How to Cite

Azevedo, H. D. de O., & Barbachan, J. S. F. (2005). Apreçamento de derivativos bidimensionais. Economia Aplicada, 9(3), 385-414. https://doi.org/10.1590/S1413-80502005000300003