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Modelización de las expectativas y estrategias de inversión en mercados de opciones

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Author Info
Begoña Font Belaire (Universitat de València)
Abstract

Este artículo trata sobre la inversión en mercados de opciones y desarrolla un procedimiento inferencial Bayesiano para evaluar el precio de opciones europeas que permite combinar formalmente la información de las series históricas de precios del subyacente y opciones con las expectativas del inversor sobre la evolución en tendencia y volatilidad del subyacente. Se propone también un problema dinámico de programación lineal entera, basado en las estimaciones Bayesianas obtenidas, para determinar el número óptimo de opciones a comprar/vender que maximiza el beneficio estimado de la cartera. Esta metodología se aplica en el Mercado Español de Futuros y Opciones (MEFF).

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File URL: ftp://ftp.funep.es/InvEcon/paperArchive/Sep2009/v33i3a8.pdf
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Publisher Info
Article provided by Fundación SEPI in its journal Investigaciones Economicas.

Volume (Year): 33 (2009)
Issue (Month): 3 (September)
Pages: 559-622
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:iec:inveco:v:33:y:2009:i:3:p:559-622

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Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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Related research
Keywords: Carteras especulativas óptimas; inferencia Bayesiana; opciones europeas;

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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This page was last updated on 2009-12-6.

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