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Una nota sobre valoración de opciones americanas y arbitraje

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  • Francesc Llerena-Garrés

    (Universitat Rovira i Virgili)

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  • Francesc Llerena-Garrés, 2000. "Una nota sobre valoración de opciones americanas y arbitraje," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 207-218, January.
    • Handle: RePEc:iec:inveco:v:24:y:2000:i:1:p:207-218
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    References listed on IDEAS

    as
    1. Ingersoll, Jonathan Jr., 1977. "A contingent-claims valuation of convertible securities," Journal of Financial Economics, Elsevier, vol. 4(3), pages 289-321, May.
    2. Roll, Richard, 1977. "An analytic valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 5(2), pages 251-258, November.
    3. Jones, E. Philip & Mason, Scott P., 1980. "Valuation of loan guarantees," Journal of Banking & Finance, Elsevier, vol. 4(1), pages 89-107, March.
    4. Schwartz, Eduardo S., 1977. "The valuation of warrants: Implementing a new approach," Journal of Financial Economics, Elsevier, vol. 4(1), pages 79-93, January.
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    Cited by:

    1. Elizondo Rocío & Padilla Pablo, 2008. "An Analytical Approach to Merton's Rational Option Pricing Theory," Working Papers 2008-03, Banco de México.
    2. Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.

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