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Valuación de opciones sobre subyacentes con rendimientos a-estables

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  • Climent Hernández José Antonio

    (Instituto Politécnico Nacional)

  • Venegas Martínez Francisco

    (Instituto Politécnico Nacional)

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.

Suggested Citation

  • Climent Hernández José Antonio & Venegas Martínez Francisco, 2013. "Valuación de opciones sobre subyacentes con rendimientos a-estables," Contaduría y Administración, Accounting and Management, vol. 58(4), pages 119-150, octubre-d.
    • Handle: RePEc:nax:conyad:v:58:y:2013:i:4:p:119-150
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    References listed on IDEAS

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    Cited by:

    1. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.

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