O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes
The main goal of this paper is to evaluate the impact of the exchange rate volatility in price prediction of derivative securities in the Brazilian capital markets using an artificial neural network technique, given the Black & Scholes Model limitations. For this purpose a multiplayer, feedfor...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade Presbiteriana Mackenzie
2009-05-01
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| Series: | Revista de Economia Mackenzie |
| Subjects: | |
| Online Access: | http://editorarevistas.mackenzie.br/index.php/rem/article/view/1647 |
| _version_ | 1811344619185635328 |
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| author | Carlos Alberto Aragón de Planas Léo da Rocha Ferreira Gerson Lachtermacher |
| author_facet | Carlos Alberto Aragón de Planas Léo da Rocha Ferreira Gerson Lachtermacher |
| author_sort | Carlos Alberto Aragón de Planas |
| collection | DOAJ |
| description | The main goal of this paper is to evaluate the impact of the exchange rate
volatility in price prediction of derivative securities in the Brazilian capital
markets using an artificial neural network technique, given the Black & Scholes Model limitations. For this purpose a multiplayer, feedforward neural network, trained by the backpropagation algorithm model, to perform the prediction of the Telemar option prices was developed. The model results show
that price estimates are close to the real values, mainly when appended to the
exchange rate, confirming that the performance of neural network is superior
to other results. The inclusion of the exchange rate in neural networks technique results in a better price forecasting for the options, because the volatility
in the price of the underlying asset is caused by temporary arbitrage of quotes
among the national and foreign stock markets where the company is listed. |
| first_indexed | 2024-04-13T19:49:54Z |
| format | Article |
| id | doaj.art-3dd2039c5c6f46e79fe8ed2efe22861b |
| institution | Directory Open Access Journal |
| issn | 1678-5002 1808-2785 |
| language | Portuguese |
| last_indexed | 2024-04-13T19:49:54Z |
| publishDate | 2009-05-01 |
| publisher | Universidade Presbiteriana Mackenzie |
| record_format | Article |
| series | Revista de Economia Mackenzie |
| spelling | doaj.art-3dd2039c5c6f46e79fe8ed2efe22861b2022-12-22T02:32:34ZporUniversidade Presbiteriana MackenzieRevista de Economia Mackenzie1678-50021808-27852009-05-0172138181O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & ScholesCarlos Alberto Aragón de Planas0Léo da Rocha Ferreira1Gerson Lachtermacher2BovespaUniversidade Estadual do Rio de JaneiroUniversidade Estadual do Rio de JaneiroThe main goal of this paper is to evaluate the impact of the exchange rate volatility in price prediction of derivative securities in the Brazilian capital markets using an artificial neural network technique, given the Black & Scholes Model limitations. For this purpose a multiplayer, feedforward neural network, trained by the backpropagation algorithm model, to perform the prediction of the Telemar option prices was developed. The model results show that price estimates are close to the real values, mainly when appended to the exchange rate, confirming that the performance of neural network is superior to other results. The inclusion of the exchange rate in neural networks technique results in a better price forecasting for the options, because the volatility in the price of the underlying asset is caused by temporary arbitrage of quotes among the national and foreign stock markets where the company is listed.http://editorarevistas.mackenzie.br/index.php/rem/article/view/1647options pricingartificial neural networksexchange rate |
| spellingShingle | Carlos Alberto Aragón de Planas Léo da Rocha Ferreira Gerson Lachtermacher O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes Revista de Economia Mackenzie options pricing artificial neural networks exchange rate |
| title | O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes |
| title_full | O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes |
| title_fullStr | O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes |
| title_full_unstemmed | O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes |
| title_short | O Impacto da Taxa de Câmbio no Apreçamento de Opções no Brasil–Uma Análise Comparativa entre um Modelo de Rede Neural e o Modelo de Black & Scholes |
| title_sort | o impacto da taxa de cambio no aprecamento de opcoes no brasil uma analise comparativa entre um modelo de rede neural e o modelo de black scholes |
| topic | options pricing artificial neural networks exchange rate |
| url | http://editorarevistas.mackenzie.br/index.php/rem/article/view/1647 |
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