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estimación de una superficie de volatilidades para las opciones de tasa de cambio USD/COP

Author

Listed:
  • Andrés Gómez

Abstract

En este trabajo se describen algunos de los estándaresdel mercado de opciones sobre divisas y se analizanalgunos modelos que son utilizados para la obtenciónde precios. Particularmente se hace uso del modeloNGARCH para obtener precios de opciones sobre latasa de cambio USD/COP. A partir de estos precios seobtienen volatilidades implícitas por plazo y delta, loque genera una superficie de volatilidades teórica paralas opciones sobre la tasa de cambio USD/COP.

Suggested Citation

  • Andrés Gómez, 2010. "estimación de una superficie de volatilidades para las opciones de tasa de cambio USD/COP," Análisis - Revista del Mercado de Valores, Autorregulador del Mercado de Valores de Colombia, December.
    • Handle: RePEc:col:000417:007897
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    File URL: http://www.dotec-colombia.org/files/4Volatilidad.pdf
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    More about this item

    Keywords

    estimación; métodos de simulación; tasas de cambio; valoración de activos contingentes;
    All these keywords.

    JEL classification:

    • 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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