Of the alternative approaches to the Black-Scholes options valuation model, the implied models have had the largest development in last years. In this approach there are different alternatives: implied trees, deterministic volatility function models and implied volatility function models. All of...

Este artículo quiere mostrar los usos y las utilidades de MATLAB©, tanto en la enseñanza como en las aplicaciones de la Matemática Financiera. El artículo tiene dos partes bien diferenciadas: en la primera se hace un estudio estadístico de los datos del Ibex 35 durante gran parte del año...

Este trabajo describe las principales características generales de las subastas de capacidad virtual y las particularidades de su aplicación al mercado español como emisiones primarias de energía. Se analizan los resultados de la valoración de los precios de las opciones proporcionados por...

El clásico modelo de valoración de opciones europeas de Black y Scholes (1973) supone que los retornos logarítmicos de un activo financiero se distribuyen normalmente, no obstante varios estudios empíricos muestran, primero, que esta distribución puede ser asimétrica y tener colas pesadas"...

According to Chilean law, every time that a corporation issues stock, the old stockholders receive the right to subscribe the new issue a pro-rata of their holdings. This right is transferable, giving rise to the only option markets that exists in Chile.

The main purpose of the paper is to present, how derivatives valuing methodology, known from financial and commodities markets, can be applied to the electricity market. We compare an application of three recent models. We start with the convenience yield approach, then we analyse the...

The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient...

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...

Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price....

This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability...