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Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito

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  • Marcelo Fabián Perillo

Abstract

El objetivo del presente trabajo es abordar la valuación de una clase particular de productos estructurados, consistentes en títulos de deuda cupón cero cuya función de pagos está atada al comportamiento de otra variable, en el caso bajo análisis un índice accionario. Su contribución consiste en la proposición de una fórmula o “closed form solution”, bajo supuestos estándares en la valuación de instrumentos financieros derivados y la existencia de riesgo de crédito.

Suggested Citation

  • Marcelo Fabián Perillo, 2023. "Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito," Revista de Análisis Económico y Financiero, Universidad de San Martín de Porres, vol. 6(02), pages 01-06.
    • Handle: RePEc:alp:revaef:11-01
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    References listed on IDEAS

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