[en] SKEWNESS AND KURTOSIS CONES ON BRAZILIAN STOCK CALL OPTIONS MARKET: AN ANALYSIS OF VOLATILITY CONES BEYOND IMPLIED VOLATILITY CALCULATED BY CORRADO-SU AND BLACK-SCHOLES MODELS

[en] SKEWNESS AND KURTOSIS CONES ON BRAZILIAN STOCK CALL OPTIONS MARKET: AN ANALYSIS OF VOLATILITY CONES BEYOND IMPLIED VOLATILITY CALCULATED BY CORRADO-SU AND BLACK-SCHOLES MODELS

[pt] O presente estudo tem como objetivo mostrar a existência de cones de assimetria e curtose no mercado brasileiro de opções. Além disso, os coeficientes de assimetria e curtose são de suma importância para a aplicação do modelo de Corrado e Su (1996). As volatilidades implícitas calculadas pelo m...

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Bibliographic Details
Main Author:	HENRIQUE BAUER
Other Authors:	ANTONIO CARLOS FIGUEIREDO PINTO
Language:	pt
Published:	MAXWELL 2012
Subjects:	[pt] VOLATILIDADE IMPLICITA [en] IMPLIED VOLATILITY [pt] CONES DE VOLATILIDADE [pt] CONES DE ASSIMETRIA
Online Access:	https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19876@1 https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19876@2 http://doi.org/10.17771/PUCRio.acad.19876

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