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Valoración de opciones por simulación

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  • Fernandez, Pablo

    ()
    (IESE Business School)

Abstract

Este documento aborda la valoración de opciones por simulación. La valoración por simulación se fundamenta en la valoración de opciones por el método de las martingalas. Obviamente, la simulación sirve únicamente para valorar opciones de tipo europeo, no permite valorar adecuadamente las opciones americanas. En el documento se comprueba que cuando la fórmula de Black y Scholes es adecuada, la simulación proporciona el mismo resultado. El documento también analiza los problemas que presenta la valoración de opciones sobre acciones que reparten dividendos: la no normalidad de la distribución y la diferencia entre especificar el dividendo como una magnitud constante o como un porcentaje del precio de la acción. También se aborda la valoración por simulación de uno de los derivados exóticos más utilizados: el corredor.

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Bibliographic Info

Paper provided by IESE Business School in its series IESE Research Papers with number D/309.

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Length: 56 pages
Date of creation: 18 Mar 1996
Date of revision:
Handle: RePEc:ebg:iesewp:d-0309

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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: valoracion opciones; valoracion por simulacion;

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  1. 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.
  2. 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.
  3. 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.
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