IDEAS home Printed from
   My bibliography  Save this paper

Derivados exóticos


  • Fernandez, Pablo

    () (IESE Business School)

  • Ariño, Miguel A.

    () (IESE Business School)


En este documento de investigación se hace una descripción y clasificación de los derivados exóticos más utilizados. También se proporcionan fórmulas de valoración para muchos de ellos, así como análisis de sensibilidad de sus valores. Muchos de los análisis de sensibilidad proceden de consultas realizadas a entidades financieras y empresas que se han planteado la posibilidad de comprar o vender alguno de estos productos. Se analizan sólo derivados exóticos con una acción como subyacente. El análisis de derivados exóticos sobre divisas, renta fija o materias primas es totalmente análogo: las fórmulas de valoración que siguen también sirven; basta introducir el ajuste correspondiente a la tasa de interés de la moneda extranjera (divisas), cupones (renta fija) y los costes de almacenaje (materias primas).

Suggested Citation

  • Fernandez, Pablo & Ariño, Miguel A., 1996. "Derivados exóticos," IESE Research Papers D/308, IESE Business School.
  • Handle: RePEc:ebg:iesewp:d-0308

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, vol. 5(2), pages 241-249, November.
    2. 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.
    3. 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.
    4. Stulz, ReneM., 1982. "Options on the minimum or the maximum of two risky assets : Analysis and applications," Journal of Financial Economics, Elsevier, vol. 10(2), pages 161-185, July.
    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.
    6. Conze, Antoine & Viswanathan, 1991. " Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-1907, December.
    7. Bick, Avi, 1988. "Producing Derivative Assets with Forward Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 153-160, June.
    Full references (including those not matched with items on IDEAS)


    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:ebg:iesewp:d-0308. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Noelia Romero). General contact details of provider: .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.