La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el...

A lattice-based method is advanced for evaluating functionals of sequences of path-wise values of a lattice's state variable. For the Asian call valuations in this paper, the lattices discretely replicate the stochastic future states of conventionally prescribed, lognormally distributed, equity...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

This note derives new expressions for the moments of the average of values taken by Wiener paths at an arbitrary number, N, of discrete times. The expressions are closed summations, which entail only the N-th powers of, and the successive differences between, the moments of the lognormal finite...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

Binomial lattices are sequences of discrete distributions commonly used to approximate the future value states of a financial claim, such as a stock price, when the instantaneous rate of return is assumed to be governed by a Wiener diffusion process. In that case, both pedagogical and...