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valoracion de las quality options en los futuros de TES

Author

Listed:
  • Andrés Vélez

Abstract

En este trabajo se usa un modelo estocástico parasimular la curva de rendimientos de los títulos dedeuda pública colombiana (TES) y así valorar lasopciones implícitas en los contratos estandarizadosde futuros de estos títulos. El modelo se basaen el propuesto por Heath, Jarrow y Morton (1992),y se adicionan características específicas que tienenestos contratos en Colombia. Los resultadossugieren que los precios de las opciones dependenpositivamente tanto del vencimiento del bono subyacentecomo del plazo del contrato, como es loesperado.

Suggested Citation

  • Andrés Vélez, 2010. "valoracion de las quality options en los futuros de TES," Análisis - Revista del Mercado de Valores, Autorregulador del Mercado de Valores de Colombia, December.
    • Handle: RePEc:col:000417:007899
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    File URL: http://www.dotec-colombia.org/files/5Quality.pdf
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    More about this item

    Keywords

    modelo HJM; contratos de futurosde TES; TES; curva forward; deuda pública colombiana;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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