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Modelos de tiempo continuo para commodities agrícolas En Colombia

Author

Listed:
  • Ulises Cárcamo Cárcamo
  • Javier Arbeláez López.

Abstract

Algunos llamados “expertos” hacen recomendaciones para aplicar modelos de valoración de derivados sobre acciones a derivados sobre commodities. Esta práctica debería considerarse sólo como un primer paso, exploratorio en la búsqueda del valor realmente “justo” del derivado. En general, los precios de las commodities se comportan de una manera bastante diferente de los precios de las acciones. Esto se muestra, con este artículo, a través de ejemplos del mercado agropecuario colombiano.

Suggested Citation

  • Ulises Cárcamo Cárcamo & Javier Arbeláez López., 2007. "Modelos de tiempo continuo para commodities agrícolas En Colombia," Revista Ad-Minister, Universidad EAFIT, December.
    • Handle: RePEc:col:000475:012207
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    File URL: http://publicaciones.eafit.edu.co/index.php/administer/article/view/565/1944#.VDKYxGd5ONQ
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    More about this item

    Keywords

    Derivados; acciones; commoditie; teoría de Black-Scholes; modelo Merton; modelos de equilibrio; modelos de arbitraje;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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