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Maximización De Utilidad Y Valuación De Opciones Con Volatilidad Estocástica

Author

Listed:
  • Francisco Venegas-Martínez

    (Tecnológico de Monterrey, Campus Ciudad de México)

  • Gerardo Pioquinto Aguilar Sánchez

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

Este trabajo desarrolla un modelo de equilibrio parcial para valuar productos derivados cuando la volatilidad del activo subyacente presenta volatilidad estocástica. El modelo considera una economía poblada por agentes racionales (consumidores-inversionistas) que toman decisiones sobre consumo e inversión en un ambiente de riesgo de mercado. El precio del derivado y el coeficiente de riesgo se caracterizan como las soluciones de un sistema de ecuaciones diferenciales parciales. Varias formas específicas de la función de utilidad son analizadas en el proceso de valuación.

Suggested Citation

  • Francisco Venegas-Martínez & Gerardo Pioquinto Aguilar Sánchez, 2005. "Maximización De Utilidad Y Valuación De Opciones Con Volatilidad Estocástica," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 4(2), pages 175-184, Junio 200.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:2:p:175-184
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/201
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    More about this item

    Keywords

    Maximización de utilidad; Volatilidad estocástica; Ecuación diferencial parcial;
    All these keywords.

    JEL classification:

    • D1 - Microeconomics - - Household Behavior
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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