Resumo

ANGELES CASTRO, Gerardo  e  VENEGAS-MARTINEZ, Francisco. Pricing options on stock indexes and determination of the term structure of the interest rate in a general equilibrium model. Inv. Econ [online]. 2010, vol.69, n.271, pp.43-80. ISSN 0185-1667.

This paper is aimed at developing a general equilibrium stochastic model in an economy populated by identical, competitive, and risk-averse consumers-investors. Such agents make decisions on portfolio and consumption by maximizing discounted total expected utility. Under the assumptions that there exists a stock index whose stochastic dynamics is driven by a geometric Brownian motion and the technology is guided by a stationary Gaussian-Markovian process with mean reversion, both the price of a European call option on such an index and the term structure of the interest rate are obtained.

Palavras-chave : general equilibrium; intertemporal consumer’s choice; derivative products; term structure of the interest rate.

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