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Modelos de valoración de opciones europeas en tiempo continuo

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  • Jaime Villamil

    ()

Abstract

El clásico modelo de valoración de opciones europeas de Black y Scholes (1973) supone que los retornos logarítmicos de un activo financiero se distribuyen normalmente, no obstante varios estudios empíricos muestran, primero, que esta distribución puede ser asimétrica y tener colas pesadas" y, segundo, que la varianza del precio del activo no es finita. Este artículo presenta la implementación numérica de tres modelos alternativos: elasticidad constante de la varianza (1976), jump-diffusion (1976) y volatilidad estocástica (1987)."

Suggested Citation

  • Jaime Villamil, 2006. "Modelos de valoración de opciones europeas en tiempo continuo," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
  • Handle: RePEc:col:000093:004443
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    More about this item

    Keywords

    ecuaciones diferenciales estocásticas; lema de Itô; valoración de opciones; simulación de Monte Carlo.;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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