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Valuación de opciones sobre subyacentes con rendimientos a-estables

José Climent Hernández () and Venegas Martínez Francisco ()
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Venegas Martínez Francisco: Instituto Politécnico Nacional

Authors registered in the RePEc Author Service: Francisco Venegas-Martínez ()

Contaduría y Administración, 2013, vol. 58, issue 4, 119-150

Abstract: In this work, we analyze the log-stable option pricing model, we estimate the parameters of the distribution of the peso-dollar exchange depreciation rate through the methods: 1) maximum likelihood, 2) tabulated quantiles of stable distributions and 3) regression on the sample characteristic function; we conducted a qualitative analysis to show the quality of the distribution’s fit and through a quantitative analysis we chose the best parameters estimation and we compare the McCulloch (2003) log-stable option pricing model with the Black and Scholes (1973) log-normal model and a MexDer’s prices vector; finally, we show that the log-stable model has advantages over the log-normal model.

Keywords: valuación de opciones; análisis de riesgo; distribuciones estables (search for similar items in EconPapers)
Date: 2013
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