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Un modelo estocástico para asignar precios de bonos

Author

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  • Rolando Rebolledo

Abstract

En este trabajo se propone e ilustra un método de valoración en el caso de los bonos. El concepto generador de precios se vincula con precios normalizados por medio de una operación exponencial. La derivación de la solución general para la ecuación de precios se da primero en el caso de tiempo discreto a manera de introducción para luego ampliarla al caso del tiempo continuo. En la última sección, se analiza el no arbitraje de oportunidades. La nota se basa en una reciente investigación conjunta del autor llevada a cabo con Eckhard Platen, la que generaliza la mayoría de los modelos de valoración vigentes en los mercados financieros (véase Platen y Rebolledo, 1993 y 1994).

Suggested Citation

  • Rolando Rebolledo, 1994. "Un modelo estocástico para asignar precios de bonos," Estudios de Economia, University of Chile, Department of Economics, vol. 21(1 Year 19), pages 91-104, June.
    • Handle: RePEc:udc:esteco:v:21:y:1994:i:1:p:91-104
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