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Pseudo-Arbitraje Y Valoración En Mercados Financieros Con Falta De Liquidez

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Author Info
Alejandro Balbás ()
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.

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Paper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Documentos de Trabajo de Economía de la Empresa with number db020202.

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Date of creation: Jan 2002
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Handle: RePEc:cte:dbrepe:db020202

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