Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General

Characterization of the Price of a Zero-Coupon Bond in a General Equilibrium Model

Francisco Venegas-Martínez

MPRA Paper from University Library of Munich, Germany

Abstract: Spanish Abstract: En esta investigación se desarrolla un modelo de equilibrio general en una economía estocástica, poblada por consumidores-inversionistas idénticos, competitivos y adversos al riesgo. El modelo permite caracterizar el precio de un bono cupón cero en equilibrio. Dicha caracterización se lleva a cabo mediante las funciones de Bessel. English Abstract: This paper develops a general equilibrium model of a stochastic economy, populated by identical, competitive and risk-adverse consumer-investors. The model allows characterizing the price of a zero-coupon bond in the equilibrium. This characterization is carried out by means of the non-central chi-square distribution and Bessel functions.

Keywords: Mercados financieros; valuación de activos (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2014-03-28
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