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 |