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Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano

Author

Listed:
  • Luis Guillermo Herrera Cardona
  • Darwin Cárdenas Giraldo

Abstract

Este documento tiene como propósito evaluar la aplicabilidad del modelo de tasa de interés de Vasicek (1977) para la valorar opciones call y put sobre un título de renta fija colombiano. Para el desarrollo de esta aplicación, se efectúan estimaciones econométricas con procesos autorregresivos y de volatilidad necesarias para encontrar los parámetros de entrada del modelo. En el avance del trabajo se encuentra que este no arroja resultados satisfactorios para las opciones sobre bonos colombianos, debido al alto valor de las primas. Sin embargo, ajustando el modelo con parámetros basados en criterios empíricos, se obtienen cifras más consistentes.

Suggested Citation

  • Luis Guillermo Herrera Cardona & Darwin Cárdenas Giraldo, 2013. "Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano," Estudios Gerenciales, Universidad Icesi, March.
    • Handle: RePEc:col:000129:011374
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    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1601
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    More about this item

    Keywords

    Modelos de evolución de tasas de interésVelocidad de reversiónModelo de VasicekValoración de opciones call y putModelo Black-76;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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