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Determinação de preços de ativos, arbitragem, mercado a termo e mercado futuro

Author

Listed:
  • Auler, Flávio
  • Werlang, Sérgio Ribeiro da Costa

Abstract

O artigo é dividido em duas partes: a primeira tem por fim apresentar um modelo básico de determinaçio de preços de ativos e definir o que vem a ser uma oportunidade de arbitragem. Na segunda parte é analisado inicialmente o mercado a termo, mostrando como o preço do ativo é determinado neste mercado por arbitragem. Depois é analisado o mercado futuro, mostrando como seu preço é determinado por arbitragem no caso de termos taxa de juros não estocástica, e nalisada a relação entre o preço de certo ativo no mercado a termo e no mercado futuro e o papel das expectativas. Finalmente apresentamos um procedimento alternativo para a determinação de preços no mercado futuro, que é o modelo de média-variância

Suggested Citation

  • Auler, Flávio & Werlang, Sérgio Ribeiro da Costa, 1993. "Determinação de preços de ativos, arbitragem, mercado a termo e mercado futuro," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 215, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Handle: RePEc:fgv:epgewp:215
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    References listed on IDEAS

    as
    1. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128.
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