RESUMO Este trabalho implementa as fronteiras de variância mínima para o fator de desconto estocástico, conforme Hansen e Jagannathan (1991) e Cochrane e Hansen (1992) Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the Equity Premium Puzzle and the Low Interest Rate Puzzle. Furthermore, we apply also the econometric test of Burnside (1994) in these approaches. The criteria based on equity return results in an invalid discount factor. On the other hand, the approach using the equity premium, according to Cochrane and Hansen (1992)

In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under possible non-gaussian distributions of the underlying object. We adapt to our problem a model originally proposed to describe the formation of galaxies in the universe of De Simone et al. (2011), which uses cumulant expansions in terms of the Gaussian distribution, and we generalize it to take into acount drift and cumulants of orders higher than three. From the probability density function, we obtain an analytical pricing model, not only for vanilla options (thus removing the need of volatility smile inherent to the Black & Scholes (1973) model), but also for fixed or deterministically moving barrier options. Market prices of vanilla options are used to calibrate the model, and barrier option pricing arising from the model is compared to the price resulted from the relative entropy model.

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