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Revista de Administração Contemporânea

versión On-line ISSN 1982-7849

Resumen

VITIELLO JR, Luiz Roque de Souza. Opções de compra: o ajustamento ao mercado brasileiro de dois modelos de precificação. Rev. adm. contemp. [online]. 2000, vol.4, n.1, pp. 27-45. ISSN 1982-7849.  http://dx.doi.org/10.1590/S1415-65552000000100003.

This study examined, from July 1994 to June 1997, the goodness of fitting to the Brazilian market of two call option pricing models: the Black and Scholes (1973), which assumes that the returns of the underlying stock prices follow a lognormal diffusion process, and the constant elasticity of variance, suggested by Cox and Ross (1976), which assumes that the returns of the underlying stock prices follow a constant elasticity of variance diffusion process. Through the use of relative percentage differences and the t-test, it was verified that both models underpriced options out of the money and in the money whereas for at the money options, only the closest to the expiration day were underpriced. It was also verified that the Black and Scholes (1973) model adjusted better to out of the money and at the money options whereas the constant elasticity of variance model fitted better to in the money options. Finally, the results suggest that, although the Black and Scholes (1973) model performs slightly better than the other, it cannot be said that one model fits better to the market than the other in the pricing of Brazilian call options.

Palabras llave : call options; Black and Scholes; constant elasticity of variance.

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