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Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables

Author

Listed:
  • José Antonio Climent Hernández

    (Universidad Autónoma Metropolitana, México)

  • Carolina Cruz Matú

    (Grupo Bolsa Mexicana de Valores, México)

Abstract

Se presenta el factor de participación y la valuación de un producto estructurado de primera generación con opciones europeas de compra sobre el Eurostoxx cuando la incertidumbre de los rendimientos está modelada a través de procesos log-estables; así mismo se presentan los estadísticos básicos de los rendimientos del índice, se estiman los parámetros a-estables y se compara la valuación de los productos estructurados a través de los modelos log-estable y log-gaussiano utilizando insumos de los mercados de deuda, concluyendo que los inversionistas obtienen rendimientos superiores a los de los mercados de deuda a través de ambos modelos, y que las diferencias de los rendimientos dependen del factor de participación y del valor del índice en la fecha de liquidación.

Suggested Citation

  • José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1136-1159, Octubre-D.
    • Handle: RePEc:nax:conyad:v:62:y:2017:i:4:p:1136-1159
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    References listed on IDEAS

    as
    1. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    2. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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    4. Venegas-Martínez, Francisco (ed.), 2008. "Riesgos financieros y económicos, productos derivados y decisiones económicas bajo incertidumbre," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, Escuela Superior de Economía, Instituto Politécnico Nacional, edition 2, volume 1, number 019, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bonos; Valuación de opciones; Productos estructurados; Distribuciones a-estables.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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