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DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica

Author

Listed:
  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

Este documento de trabajo analiza el Modelo de Valoración de Opciones basado en la Estructura de Tasas de Interés de Salomon Brothers. Con ello se calcula la duración efectiva de bonos prepagables.

Suggested Citation

  • Fernando Rubio, 2004. "DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica," Finance 0402004, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0402004
    Note: Type of Document - pdf; prepared on WinXP; pages: 25
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    File URL: http://econwpa.repec.org/eps/fin/papers/0402/0402004.pdf
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    More about this item

    Keywords

    España; duración; bonos; prepago; opciones; Salomon Brothers;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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