IDEAS home Printed from https://ideas.repec.org/a/sfr/efruam/v1y2011i2p49-62.html
   My bibliography  Save this article

Valuación de una nota estructurada que liga el rendimiento de un índice bursátil con los pagos de un bono y un derivado / Structured Note Valuation linking the Market Index Return with the Payments of a Bond and a Derivative

Author

Listed:
  • Ortíz Ramírez, Ambrosio

    (Instituto Politécnico Nacional, EscuelaSuperior de Economía)

  • Venegas Martínez, Francisco

    (Instituto Politécnico Nacional, EscuelaSuperior de Economía)

  • López Herrera, Francisco

    (Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración)

Abstract

En esta trabajo se valúa una nota estructurada que incluye un bono cupón cero y que paga al vencimiento el rendimiento logarítmico de un índice accionario aplicado a un nominal predeterminado. Dicha nota tiene además inmerso un portafolio de opciones europeas (de compra o venta) y/o contratos forward. Específicamente se proporciona una fórmula cerrada del precio de dicha nota; el precio, como es de esperarse, satisface la ecuación diferencial parcial de Black-Scholes (1973) y Merton (1973) / This paper provides the value of a structured note including a zero coupon bond and paying at the maturity date the logarithmic return of a stock index applied to a predetermined nominal. The note also has embedded a portfolio of European (call and put) options and/or forward contracts Specifically, it is provided a closed formula of the value of the note; the price as expected, satisfies the Black-Scholes (1973) and Merton (1973) partial differential equation.

Suggested Citation

  • Ortíz Ramírez, Ambrosio & Venegas Martínez, Francisco & López Herrera, Francisco, 2011. "Valuación de una nota estructurada que liga el rendimiento de un índice bursátil con los pagos de un bono y un derivado / Structured Note Valuation linking the Market Index Return with the Payments of," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 1(2), pages 49-62, julio-dic.
    • Handle: RePEc:sfr:efruam:v:1:y:2011:i:2:p:49-62
    as

    Download full text from publisher

    File URL: http://estocastica.azc.uam.mx/index.php/re/article/view/52/49
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Productos derivados; Notas estructuradas; Modelación matemática / Contingent Claims; Structured Notes; Mathematical Modeling;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sfr:efruam:v:1:y:2011:i:2:p:49-62. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Estocástica: finanzas y riesgo (email available below). General contact details of provider: https://edirc.repec.org/data/dauaumx.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.