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Capire la volatilità con il modello binomiale

Author

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  • Luca Erzegovesi

    (DISA, Faculty of Economics, Trento University)

Abstract

Questo lavoro si propone di illustrare i concetti basilari dell'arbitrage pricing degli strumenti finanziari derivati mediante semplici modelli a tempo discreto che non richiedono nozioni di calcolo differenziale. In particolare si analizzano le proprietà statistiche dei prezzi e dei ritorni finanziari (valore atteso, varianza, deviazione standard) con riferimento alle distribuzioni "vera" e neutrale al rischio. Si sottolinea la mutua dipendenza tra praticabilità della strategia di replica autofinanziante di uno strumento derivato e possibilità di definire una ragionevole distribuzione neutrale al rischio dal processo del sottostante. Si evidenzia come la volatilità implicita nel prezzo delle opzioni sia una misura del compenso equo per i costi delle strategie di replica e, al tempo stesso, valendo le ipotesi limitative dei modelli canonici, una stima della volatilità attesa della vera distribuzione.

Suggested Citation

  • Luca Erzegovesi, 1999. "Capire la volatilità con il modello binomiale," Alea Tech Reports 004, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:004
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    Citations

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    Cited by:

    1. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic Learning in Co-ordination Games: a Simulation Approach," ROCK Working Papers 001, Department of Computer and Management Sciences, University of Trento, Italy, revised 21 May 1999.
    2. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    3. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. Gianni Degasperi & Luca Erzegovesi, 1999. "I mercati finanziari come sistemi complessi: il modello di Vaga," Alea Tech Reports 007, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    5. Gianni Degasperi, 1999. "La dinamica delle crisi finanziarie: i modelli di Minsky e Kindleberger," Alea Tech Reports 005, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

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