Resumo

CLIMENT HERNANDEZ, José Antonio  e  VENEGAS MARTINEZ, Francisco. Option pricing when the return of the underlying is driven by α-stable processes. Contad. Adm [online]. 2013, vol.58, n.4, pp.119-150. ISSN 0186-1042.

In this work, we analyze the log-stable option pricing model, we estimate the parameters of the distribution of the peso-dollar exchange depreciation rate through the methods: 1) maximum likelihood, 2) tabulated quantiles of α-stable distributions and 3) regression on the sample characteristic function; we conducted a qualitative analysis to show the quality of the distribution's fit and through a quantitative analysis we chose the best α-parameters estimation and we compare the McCulloch (2003) log-stable option pricing model with the Black and Scholes (1973) log-normal model and a MexDer's prices vector; finally, we show that the log-stable model has advantages over the log-normal model.

Palavras-chave : options pricing; risk analysis; stable distributions.

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