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Productos derivados sobre bienes de consumo


Author Info

  • Francisco Venegas Martinez
  • Salvador Cruz Ake

    (Instituto Politecnico Nacional)


Este trabajo de investigacion desarrolla un modelo de equilibrio general con expectativas racionales en tiempo continuo util para la determinacion de precios de contratos forward, contratos futuros, bonos cupon cero y opciones europeas (de compra y venta) sobre bienes de consumo. Para ello, el modelo considera un individuo representativo en una economia con dos bienes, los cuales son producidos con tecnologias estocasticas. Por ultimo, el modelo propuesto permite examinar estrategias para obtener ganancias especulativas mediante el uso de diferentes productos derivados.

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Bibliographic Info

Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

Volume (Year): 6 (2010)
Issue (Month): 2 (Enero-Junio)
Pages: 25-54

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Handle: RePEc:qua:journl:v:6:y:2010:i:2:p:25-54

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Related research

Keywords: General equilibrium; stochastic optimal control; pricing derivatives on commodities.;

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