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Modelos de valoración de opciones europeas en tiempo continuo


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  • Jaime Villamil


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    El clásico modelo de valoración de opciones europeas de Black y Scholes (1973) supone que los retornos logarítmicos de un activo financiero se distribuyen normalmente, no obstante varios estudios empíricos muestran, primero, que esta distribución puede ser asimétrica y tener colas pesadas" y, segundo, que la varianza del precio del activo no es finita. Este artículo presenta la implementación numérica de tres modelos alternativos: elasticidad constante de la varianza (1976), jump-diffusion (1976) y volatilidad estocástica (1987)."

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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2006)
    Issue (Month): ()

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    Handle: RePEc:col:000093:004443

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    Related research

    Keywords: ecuaciones diferenciales estocásticas; lema de Itô; valoración de opciones; simulación de Monte Carlo.;

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