Uma metodologia para a estimação do risco no mercado acionário brasileiro: preço Arrow-Debreu

Abstract

A critical aspect for pricing financial securities is to assess how the actual diffusion process differs from the standard Black-Scholes model. This work estimates the Arrow-Debreu Implied State-Price Densities and its equivalent risk-neutral Probability Density Function (PDF) for the Brazilian stock market index by using the methodologies developed by Derman-Kani (1994) and Shimko (1993). The estimated PDFs allow us to infer the market risk for the purposes of both risk management and pricing financial securities in non-arbitrage models like Black and Scholes (1973) or Merton (1973).