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Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets.
León, Alejandro Díaz de; Casanova, Martha Elena - Banco de México - 2004
The paper’s objective is to identify the balance of risks that economic agents incorporate in oil and exchange rate markets (peso/US dollar). For that purpose, two methodologies that are normally used to estimate the expected risk-neutral probability functions for a determinate underlying...
Persistent link: https://www.econbiz.de/10004967928
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Valorización de opciones reales: modelo Ornstein-Uhlenbeck
Tresierra, Álvaro; Carrasco Montero, Claudia Marilia - In: Journal of Economics, Finance and Administrative Science 21 (2016) 41, pp. 56-62
This study has as its main objective to develop an analysis of decision making under uncertainty using the real options … has been used for this. The main result is that to evaluate projects using the real options approach allows to evaluate … trinomial of profitability-risk-flexibility. The assessment method using real options makes it possible to structure strategic …
Persistent link: https://www.econbiz.de/10011859390
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Probabilidad de incumplimiento en inversiones de infraestructura: Análisis a partir de modelos estructurales de riesgo de crédito
Zapata Quimbayo, Carlos Andrés - In: Revista de Métodos Cuantitativos para la Economía y … 30 (2020), pp. 327-345
modeled following the same assumptions of the valuation theory of options developed by Black and Scholes (1973) and Merton …
Persistent link: https://www.econbiz.de/10014494401
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Life insurance valuation using exotic options
Pesce, Gabriela; Milanesi, Gastón; El Alabi, Emilio; … - In: Revista de Métodos Cuantitativos para la Economía y … 32 (2021), pp. 214-240
This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different...
Persistent link: https://www.econbiz.de/10014494439
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Valuation model with real options, trinomial lattice, changing volatility, bias and isoelastic utility functions
Milanesi, Gastón - In: Revista de Métodos Cuantitativos para la Economía y … 32 (2021), pp. 257-273
At emerging financial markets, the R&D, intangible and technological basis firms (TBF) valuation, they make the traditional real option binomial approach questionable. For that, a numerical model that modified the traditional binomial model is proposed, incorporating trinomial lattice, changing...
Persistent link: https://www.econbiz.de/10014494566
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Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción - In: Atlantic Review of Economics 1 (2012)
In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...
Persistent link: https://www.econbiz.de/10010290047
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Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción - In: Atlantic review of economics : AROE 1 (2012)
In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...
Persistent link: https://www.econbiz.de/10009664415
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Expectativas en las Tasas de Interés y Noticias de Política Monetaria de EEUU (Interest Rate Expectations and Monetary Policy News in the US)
Benavides, Guillermo - 2020
Densidades de Riesgo-Neutral con información de opciones negociadas en el Chicago Board Options Exchange (CBOE), con las cuales …
Persistent link: https://www.econbiz.de/10012842578
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Modelos de valoración de dos Estados (Two-State Valuation Models)
Moreno Trujillo, John - 2017
Spanish Abstract: Se realiza una introducción formal a los modelos de valoración de dos estados, es decir, modelos de valoración de activos contingentes en los cuales se asume que el subyacente puede presentar solamente dos precios distintos entre periodos consecutivos. Este tipo de modelos...
Persistent link: https://www.econbiz.de/10012962586
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Opciones Reales : Gestión y Problemas de su Utilización (Real Options: Management and Problems Using Them)
Mascareñas, Juan - 2019
English Abstract: The sixth monograph of the real options series shows their management and the problems of their …
Persistent link: https://www.econbiz.de/10012905234