Dos estrategias ganadoras para la opción Banxico
Between August 1996 and June 2001, the Central Bank of Mexico implemented an interventional mechanism in the exchange market in order to increase its international reserves by more than 16,000 millions of dollars. This mechanism consisted in a put option that gave the Mexican Banks the right, but not the obligation, to sell american dollars to the Central Bank, at the price determined one day before the date of exercise. In this work we present an analysis of the behavior of this instrument during its life time. Two rules of exercise are proposed to increase the gain when the option is exercised. The study shows that, under the hypothesis that the rate of exchange at time t has a log-normal distribution, the financial institutions bought the option cheap but its exercise policy was not optimal. If they had used any of the two rules of exercise proposed here they would have gotten a substantial gain.
Volume (Year): XII (2003)
Issue (Month): 2 (July-December)
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