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Productos derivados sobre bienes de consumo

Author

Listed:
  • Francisco Venegas Martinez
  • Salvador Cruz Ake

    () (Instituto Politecnico Nacional)

Abstract

Este trabajo de investigacion desarrolla un modelo de equilibrio general con expectativas racionales en tiempo continuo util para la determinacion de precios de contratos forward, contratos futuros, bonos cupon cero y opciones europeas (de compra y venta) sobre bienes de consumo. Para ello, el modelo considera un individuo representativo en una economia con dos bienes, los cuales son producidos con tecnologias estocasticas. Por ultimo, el modelo propuesto permite examinar estrategias para obtener ganancias especulativas mediante el uso de diferentes productos derivados.

Suggested Citation

  • Francisco Venegas Martinez & Salvador Cruz Ake, 2010. "Productos derivados sobre bienes de consumo," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 6(2), pages 25-54, Enero-Jun.
  • Handle: RePEc:qua:journl:v:6:y:2010:i:2:p:25-54
    as

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    File URL: http://econoquantum.cucea.udg.mx/Volumen_6_Num_2/art._2_completo_vol._6_num._2.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    General equilibrium; stochastic optimal control; pricing derivatives on commodities.;

    JEL classification:

    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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