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Replicación de opciones sobre índices: evidencia empírica para el mercado español

Author

Listed:
  • Juan José García Machado
  • Juan José de la Vega Jiménez
  • David Toscano Pardo

Abstract

CONTENTS: En este trabajo se analizan las posibilidades de formación de carteras réplicas y el establecimiento de estrategias de cobertura basadas en la delta neutral. También, en este trabajo, se estudian las posibilidades de arbitraje mediante dichas carteras réplicas, incluidos los costes de transacción; la volatilidad aplicable, en comparación con la fijada por los propios emisores; se analiza y propone un modelo de alerta para la gestión del riesgo de mercado; y, finalmente, se contrasta la bondad del mismo. Además, se aporta evidencia empírica de utilidad para quienes operan diariamente en el mercado español.

Suggested Citation

  • Juan José García Machado & Juan José de la Vega Jiménez & David Toscano Pardo, 2005. "Replicación de opciones sobre índices: evidencia empírica para el mercado español," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
    • Handle: RePEc:cnv:docutr:dt_10es
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