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Derivados exóticos

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Author Info

  • Fernandez, Pablo

    ()
    (IESE Business School)

  • Ariño, Miguel A.

    ()
    (IESE Business School)

Abstract

En este documento de investigación se hace una descripción y clasificación de los derivados exóticos más utilizados. También se proporcionan fórmulas de valoración para muchos de ellos, así como análisis de sensibilidad de sus valores. Muchos de los análisis de sensibilidad proceden de consultas realizadas a entidades financieras y empresas que se han planteado la posibilidad de comprar o vender alguno de estos productos. Se analizan sólo derivados exóticos con una acción como subyacente. El análisis de derivados exóticos sobre divisas, renta fija o materias primas es totalmente análogo: las fórmulas de valoración que siguen también sirven; basta introducir el ajuste correspondiente a la tasa de interés de la moneda extranjera (divisas), cupones (renta fija) y los costes de almacenaje (materias primas).

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Bibliographic Info

Paper provided by IESE Business School in its series IESE Research Papers with number D/308.

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Length: 70 pages
Date of creation: 13 Mar 1996
Date of revision:
Handle: RePEc:ebg:iesewp:d-0308

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Postal: IESE Business School, Av Pearson 21, 08034 Barcelona, SPAIN
Web page: http://www.iese.edu/
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Related research

Keywords: derivados exoticos; formulas valoracion; analisis valores;

References

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  1. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  4. Bick, Avi, 1988. "Producing Derivative Assets with Forward Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 153-160, June.
  5. Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, vol. 5(2), pages 241-249, November.
  6. Stulz, ReneM., 1982. "Options on the minimum or the maximum of two risky assets : Analysis and applications," Journal of Financial Economics, Elsevier, vol. 10(2), pages 161-185, July.
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