Renova black toilet paper: The creation of a glocal market space

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

A Europa no Mundo Entre as Guerras 1919-1939

O II Encontro A Europa no Mundo é dedicado ao estudo, análise, debate e interpretação das transformações políticas, económicas, sociais e culturais ocorridas na Europa durante o período entre guerras. Os textos compilados neste e-book correspondem a uma parte das comunicações apresentadas no Encontro, reflectem a investigação realizada e procuram constituir um ponto de partida para novas e mais aprofundadas reflexões.

Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.