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Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo sin Riesgo de Crédito

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  • Marcelo F. Perillo

Abstract

El objetivo del presente trabajo es abordar la valuación de una clase particular de productos estructurados, consistentes en títulos de deuda cupón cero cuya función de pagos está atada al comportamiento de otra variable, como podría ser un índice accionario. Su contribución consiste en la proposición de una fórmula o “closed form solution”, bajo supuestos estándares en la valuación de instrumentos financieros derivados.

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  • Marcelo F. Perillo, 2021. "Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo sin Riesgo de Crédito," CEMA Working Papers: Serie Documentos de Trabajo. 784, Universidad del CEMA.
    • Handle: RePEc:cem:doctra:784
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. J. Michael Harrison & Stanley R. Pliska, 1981. "Martingales and Stochastic Integrals in the Theory of Continous Trading," Discussion Papers 454, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    4. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    1. Marcelo F. Perillo, 2021. "Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito, Parte 2," CEMA Working Papers: Serie Documentos de Trabajo. 790, Universidad del CEMA.

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