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El Modelo SABR y su Relación con la Geometría Diferencial: Valuación de Opciones de Compra de Dólares del Banco de México

Author

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  • Guillermo Sierra Juárez

    (Universidad de Guadalajara, CUCEA,Departamento de Métodos Cuantitativos)

Abstract

El objetivo del presente trabajo es revisar la relación entre el modelo de volatilidad SABR y la geometría diferencial de acuerdo a la versión propuesta por Henry - Labordere (2009), la cual es una propuesta alternativa a la teoría de perturbaciones de Hagan (2002) para estimación de volatilidades. Se realiza la calibración de la volatilidad del tipo de cambio peso / dólar utilizando el modelo SABR, además se hace la valuación de opciones para la acumulación de reservas del Banco de México. Se encuentra que el valor de la prima de la opción compuesta (OC) de Banxico obtenida con métodos tradicionales con volatilidad constante es diferente a la del modelo de volatilidad SABR.

Suggested Citation

  • Guillermo Sierra Juárez, 2012. "El Modelo SABR y su Relación con la Geometría Diferencial: Valuación de Opciones de Compra de Dólares del Banco de México," 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. 7(2), pages 185-209, Julio-Dic.
    • Handle: RePEc:imx:journl:v:7:y:2012:i:2:p:185-209
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    More about this item

    Keywords

    SABR; Volatilidad; Reservas; Geometría diferencial;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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