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Un modelo estocastico de equilibrio general para valuar derivados y bonos

  • Francisco Venegas-Martinez

    ()

    (Instituto Politecnico Nacional)

En este trabajo se desarrolla un modelo de equilibrio general en una economia con agentes identicos. Estos agentes son racionales y toman decisiones de portafolio y consumo. Bajo los supuestos de que existe una accion cuyo precio es conducido por un movimiento geometrico Browniano y la tecnologia es guiada por un proceso estacionario Markoviano con reversion a la media, se determinan en el equilibrio los precios de un derivado sobre la accion y un bono cupon cero.

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Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

Volume (Year): 6 (2009)
Issue (Month): 1 (Julio - Diciembre)
Pages: 111-120

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Handle: RePEc:qua:journl:v:6:y:2009:i:1:p:111-120
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