Apreçamento de opções de IDI usando distribuições hiperbólicas generalizadas

Abstract

This paper proposes an option price model for the Brazilian IDI option of BM&F. The model considers that the forward price's return of the IDI follows a Generalized Hyperbolic (GH) distribution, and then is obtained an option pricing formula similar to Black (1976) formula. It is also done a parameter estimation of the model, and the conclusion is that the GH distribution has a better fit than the Normal distribution. Finally, the premium of the options were calculated with the Black model using a Normal Inverse Gaussian (NIG) distribution and a Normal distribution.

Keywords

• option pricing
• generalized hyperbolic distributions
• interest rates