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Pseudo-arbitraje y valoración en mercados financieros con falta de liquidez

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  • Balbás, Alejandro

Abstract

Las imperfecciones de los mercados financieros y la falta de liquidez pueden generar altos costes de transacción. Esto es especialmente claro e importante en mercados derivados (muchos de ellos OTC) de reciente aparición (derivados eléctricos, meteorológicos, sobre mercancías, sobre inflación, etc.). Desde un punto de vista práctico es obvio que en estos mercados es difícil la valoración mediante la aplicación de las técnicas habituales de rebalanceo en tiempo continuo. Propondremos el concepto de pseudo-arbitraje para superar estos problemas, caracterizaremos la ausencia o presencia de pseudo-arbitraje y veremos como el pseudo-arbitraje permite aprovechar la horquilla de precios para valorar activos.

Suggested Citation

  • Balbás, Alejandro, 2002. "Pseudo-arbitraje y valoración en mercados financieros con falta de liquidez," DEE - Documentos de Trabajo. Economía de la Empresa. DB db020202, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:dbrepe:db020202
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