Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2445
Título: Option pricing and optimal trading strategies for holding firms
Autor: Ribeiro, André Manuel da Silva
Orientador: Lacerda, Ana
Palavras-chave: Holding Companies
Basket Options
Optimal Trading Strategies
Data de Defesa: Abr-2010
Editora: Instituto Superior de Economia e Gestão
Citação: Ribeiro, André Manuel da Silva. 2010. "Option pricing and optimal trading strategies for holding firms". Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Resumo: In the corporate sector it is frequent to observe firms acquiring equity stakes in other firms. This phenomenon has an impact on the observed correlation between the return of the stocks of the two firms and on the suitable stochastic model to describe the behavior of the return of the holding company, which may not be described by a normal distribution anymore. This work aims to explore the implications of this fact on option pricing valuation and in the execution of optimal trading strategies. Concerning option pricing valuation, several methodologies, used in the literature in other contexts, were presented and discussed in this framework. A new hedging strategy was also presented. In a framework of correlated assets and illiquid markets, modeled through the dependence of the price of the holding company on the transactions of the participated company (and vice-versa), an optimal execution trading strategy is analyzed and an efficient frontier is derived. The speed of the transactions proved to be dependent on the risk aversion, variance of the stock, correlation and liquidity parameters.
Descrição: Mestrado em Matemática Financeira
URI: http://hdl.handle.net/10400.5/2445
Aparece nas colecções:BISEG - Dissertações de Mestrado / Master Thesis
DM - Dissertações de Mestrado / Master Thesis

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