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Modelización de las expectativas y estrategias de inversión en mercados de opciones

Listed author(s):
  • Begoña Font Belaire

    (Universitat de València)

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    Este artículo trata sobre la inversión en mercados de opciones y desarrolla un procedimiento inferencial Bayesiano para evaluar el precio de opciones europeas que permite combinar formalmente la información de las series históricas de precios del subyacente y opciones con las expectativas del inversor sobre la evolución en tendencia y volatilidad del subyacente. Se propone también un problema dinámico de programación lineal entera, basado en las estimaciones Bayesianas obtenidas, para determinar el número óptimo de opciones a comprar/vender que maximiza el beneficio estimado de la cartera. Esta metodología se aplica en el Mercado Español de Futuros y Opciones (MEFF).

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    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 33 (2009)
    Issue (Month): 3 (September)
    Pages: 559-622

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    Handle: RePEc:iec:inveco:v:33:y:2009:i:3:p:559-622
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    Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain

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