Economics at your fingertips  

Valuación de opciones sobre subyacentes con rendimientos a-estables

José Climent Hernández () and Venegas Martínez Francisco ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Contaduría y Administración is currently edited by Francisco López-Herrera (Editors in Chief)

More articles in Contaduría y Administración from Accounting and Management Contact information at EDIRC.
Bibliographic data for series maintained by Alberto García-Narvaez (Technical Editor) ().

Page updated 2022-06-10
Handle: RePEc:nax:conyad:v:58:y:2013:i:4:p:119-150