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¿Logra el modelo de Heston captar la dinámica de la volatilidad en los mercados de opciones sobre divisas mejor que el modelo de Garman y Kohlhagen? Un análisis para opciones sobre USD/EUR y PEN/USD

In: Economía aplicada: Ensayos de investigación económica 2013

Author

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  • Marina Pando
  • Melissa Villanueva

Abstract

No abstract is available for this item.

Suggested Citation

  • Marina Pando & Melissa Villanueva, 2014. "¿Logra el modelo de Heston captar la dinámica de la volatilidad en los mercados de opciones sobre divisas mejor que el modelo de Garman y Kohlhagen? Un análisis para opciones sobre USD/EUR y PEN/USD," Chapters of Books,in: Francisco B. Galarza (ed.), Economía aplicada: Ensayos de investigación económica 2013, edition 1, volume 1, chapter 10, pages 267-298 Fondo Editorial, Universidad del Pacífico.
  • Handle: RePEc:pai:chptup:14-01-10
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    More about this item

    Keywords

    finanzas; modelo; Heston; volatilidad; mercados; opciones; divisas; Garman; Kohlhagen; tipo; cambio;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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