IDEAS home Printed from
   My bibliography  Save this paper

Valoración de opciones por simulación


  • Fernandez, Pablo

    () (IESE Business School)


Este documento aborda la valoración de opciones por simulación. La valoración por simulación se fundamenta en la valoración de opciones por el método de las martingalas. Obviamente, la simulación sirve únicamente para valorar opciones de tipo europeo, no permite valorar adecuadamente las opciones americanas. En el documento se comprueba que cuando la fórmula de Black y Scholes es adecuada, la simulación proporciona el mismo resultado. El documento también analiza los problemas que presenta la valoración de opciones sobre acciones que reparten dividendos: la no normalidad de la distribución y la diferencia entre especificar el dividendo como una magnitud constante o como un porcentaje del precio de la acción. También se aborda la valoración por simulación de uno de los derivados exóticos más utilizados: el corredor.

Suggested Citation

  • Fernandez, Pablo, 1996. "Valoración de opciones por simulación," IESE Research Papers D/309, IESE Business School.
  • Handle: RePEc:ebg:iesewp:d-0309

    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. 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.
    4. 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.
    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-0309. 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.