ࡱ> -/,bjbjcTcT4>>   XXXXXllll l Lggg$VZXgggggXXQQQgXXQgQQQ0YGlRQu0 QR;RQRXQ$ggQgggggQggg ggggRggggggggg  :Resumo O objetivo do presente trabalho a utilizao de mtodos computacionais alternativos ao modelo Black&Scholes, mais especificamente os mtodos de diferenas finitas, para precificao de opes. Os mtodos so comparados tendo como critrios acurcia com preos obtidos pelo modelo Black&Scholes e modelo Binomial e o tempo computacional. Neste trabalho, demonstrado que o valor da opo obtido com o uso da Equao Diferencial Parcial, pelo mtodo de Crank-Nicolson, apresenta melhores desempenhos para opes europias. Para facilitar o entendimento, feito um resumo dos principais caractersticas dos contratos de opes (compra e venda) no captulo 2, bem como explicado os principais conceitos usados nas transaes do mercado de opes. Uma abordagem dos principais mtodos numricos feita no captulo 3, dando uma maior nfase nos mtodos de diferenas finitas, alm disso, feita uma breve explicao do mtodo binomial. No captulo 3, tambm feita a demonstrao da Equao Diferencial Parcial usada no mtodo de diferenas finitas. Prova-se, nesta demonstrao, que o valor da opo obtido com o uso da Equao Diferencial Parcial um clculo determinstico, ou seja, no envolve elementos aleatrios. Palavras-chave: Mtodos Numricos; Opes; Diferenas Finitas; Determinstico;Black&Scholes. Abstract The aim of this work is the use of alternative computational methods to the Black&Scholes model, more specifically the methods of finite differences for pricing of options. The methods are compared and the criteria is accuracy, considering Black&Scholes and Binomial prices and computational time. In this work, we demonstrated that the option pricing reached through Partial Differential Equations using the method of Crank-Nicolson presents better performance for European options. A summary of the main characteristics of options instruments (call and put) is presented in chapter 2, as well as the main concepts in the options markets. An explanation of the main numerical methods is presented in chapter 3, with emphasis in the finite differences methods and a brief description of the binomial method. In chapter 3, the demonstration of the Partial Differential Equation is made. It is proved, in this demonstration, that the value of the option reached through Partial Differential Equations is a deterministic estimative, that is, it does not involve random elements. Keywords:Numerical Methods; Options; Finite differences; Deterministic; Black&Scholes.  . 6 7 8 BCtu qr  #$klm"hbhCJOJQJ^JaJmH sH (hbhhbhCJOJQJ^JaJmH sH "hbhCJ2OJQJ^JaJ2mH sH (hbhhbhCJ2OJQJ^JaJ2mH sH hbhCJOJQJ^JaJhbhCJOJQJ^JaJhbhCJ2OJQJ^JaJ20 , . 7 8 lm$d7$8$H$a$gdbh$d7$8$H$`a$gdbhd7$8$H$gdbh muֹhbhhbhmH sH "hbhCJOJQJ^JaJmH sH (hbhhbhCJOJQJ^JaJmH sH (hbhhbhCJOJQJ^JaJmH sH 21h:p5_:. A!"#$% j 666666666vvvvvvvvv666666>6666666666666666666666666666666666666666666666666hH6666666666666666666666666666666666666666666666666666666666666666662 0@P`p2( 0@P`p 0@P`p 0@P`p 0@P`p 0@P`p 0@P`p8XV~ OJPJQJ_HmHnHsHtHJ`J 5_:Normal dCJ_HaJmHsHtH >A > Fonte parg. padroTiT 0 Tabela normal4 l4a ,k , 0 Sem lista vv Titulo($d1$7$8$H$M '5CJOJPJQJ^JaJmH sH tHPK![Content_Types].xmlj0Eжr(΢Iw},-j4 wP-t#bΙ{UTU^hd}㨫)*1P' ^W0)T9<l#$yi};~@(Hu* Dנz/0ǰ $ X3aZ,D0j~3߶b~i>3\`?/[G\!-Rk.sԻ..a濭?PK!֧6 _rels/.relsj0 }Q%v/C/}(h"O = C?hv=Ʌ%[xp{۵_Pѣ<1H0ORBdJE4b$q_6LR7`0̞O,En7Lib/SeеPK!kytheme/theme/themeManager.xml M @}w7c(EbˮCAǠҟ7՛K Y, e.|,H,lxɴIsQ}#Ր ֵ+!,^$j=GW)E+& 8PK!.atheme/theme/theme1.xmlYMoE#F{om'vGuرhF[xw;jf7q7J\ʉ("/z'4IA!>Ǽ3|^>5.=D4 ;ޭªIOHǛ]YxME$&;^TVIS 1V(Z Ym^_Ř&Jp lG@nN&'zξ@F^j$K_PA!&gǬへ=!n>^mr eDLC[OF{KFDžƠپY7q~o >ku)lVݜg d.[/_^йv[LԀ~Xrd|8xR{ (b4[@2l z "&'?>xpxGȡIXzg=2>ϫPCsu=o<.G4& h`9Q"LI(q }93̲8ztzH0SE+$_b9rQkZVͣiV 2n*=8OSyZ:"⨹ppH~_/PŴ%#:viNEcˬfۨY՛dEBU`V0ǍWTḊǬXEUJg/RAC8D*-Um6]Ptuyz*&Q܃h*6w+D?CprloSnpJoBӁc3 chϿ~TYok#ހ=pGn=wOikZoiBs͜zLPƆjui&e E0EMl8;|͚ 64HpU0)L O3 e:(xfä)Hy`r~B(ؘ-'4g\вfpZa˗2`khN-aT3ΑV \4  o`v/] f$~p p@ic0As\ @THNZIZ[}i RY\qy$JyϣH9\,AZjyiǛ)D]n|%lڟX̦l熹EЀ > 6ljWY DK/eby_膖L&W`VcJT14fS!:UJ0A?y6Xg1K#[]y%[BTRlwvSLɟ)4.Xt|zx\CJ#Lw@,e_}֜aN}jHP؏T$فdfl,YdTI]Zd+zoPnI hYC=!kk|l1Qn6MBŊ]|-_Ǭf^ Mθڎ`R+Wh1,Q >H *:[䠙A@V_ .ap64+lt^7st G5;Mb8s9x<ڮjI~11qM2%M2K94uo%PK! ѐ'theme/theme/_rels/themeManager.xml.relsM 0wooӺ&݈Э5 6?$Q ,.aic21h:qm@RN;d`o7gK(M&$R(.1r'JЊT8V"AȻHu}|$b{P8g/]QAsم(#L[PK-![Content_Types].xmlPK-!֧6 +_rels/.relsPK-!kytheme/theme/themeManager.xmlPK-!.atheme/theme/theme1.xmlPK-! ѐ' theme/theme/_rels/themeManager.xml.relsPK] m  8@0(  B S  ?hu"/*(5m  hu"/34u  33+ KhS%:ZQa" | ": f$S;M5?tLSCc @"P" $]$~ &D&}(q+7+L.27]5708:5_:~>aBQC,D~K-L"MP5QR0R2UyX(RZsZN\cLMe_fB>!20 i2HX $Pbh2! xx mecir.edilio mecir.edilioOh+'0|  8 D P\dltmecir.edilio Normal.dotmmecir.edilio1Microsoft Office Word@V@\y@s>՜.+,0 hp|     Ttulo  !"#%&'()*+.Root Entry FU01Table RWordDocument4SummaryInformation(DocumentSummaryInformation8$CompObj}  F+Documento do Microsoft Office Word 97-2003 MSWordDocWord.Document.89q