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Modelos de saltos vs modelos de choques para la valuación de opciones en ambientes de alta volatilidad

Author

Listed:
  • Ortiz-Aguilar, héctor E.

    (ESE-IPN)

  • Venegas-Martínez, Francisco

    (ESE-IPN)

  • Ortiz-Arango, Francisco

Abstract

El presente trabajo realiza un análisis comparativo entre los modelos de saltos y choques tomando como referencia la solución básica de Black-ScholesMerton (BSM) (1973). Los principales resultados son que, en un ambiente de alta volatilidad, el modelo BSM sobrevalua excesivamente el precio de las opciones europeas de compra. Aunque el modelo de choques muestra una mejora en la valuación, el modelo de saltos proporciona primas más adecuadas. Es decir, el modelo de saltos es una mejor alternativa para la valuación de opciones un ambiente de alta volatilidad

Suggested Citation

  • Ortiz-Aguilar, héctor E. & Venegas-Martínez, Francisco & Ortiz-Arango, Francisco, 2020. "Modelos de saltos vs modelos de choques para la valuación de opciones en ambientes de alta volatilidad," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(52), pages 9-45, Primer se.
    • Handle: RePEc:ipn:esecon:v:15:y:2020:i:52:p:9-45
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    More about this item

    Keywords

    mercados financieros Valuación de opciones; modelos matemáticos.;

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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