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Un modelo estocastico de equilibrio general para valuar derivados y bonos

Author

Listed:
  • Francisco Venegas Martinez

    (Instituto Politecnico Nacional)

Abstract

En este trabajo se desarrolla un modelo de equilibrio general en una economia con agentes identicos. Estos agentes son racionales y toman decisiones de portafolio y consumo. Bajo los supuestos de que existe una accion cuyo precio es conducido por un movimiento geometrico Browniano y la tecnologia es guiada por un proceso estacionario Markoviano con reversion a la media, se determinan en el equilibrio los precios de un derivado sobre la accion y un bono cupon cero.

Suggested Citation

  • Francisco Venegas Martinez, 2009. "Un modelo estocastico de equilibrio general para valuar derivados y bonos," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 6(1), pages 111-120, Julio - D.
    • Handle: RePEc:qua:journl:v:6:y:2009:i:1:p:111-120
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    More about this item

    Keywords

    Equilibrio general; Consumidor racional; Derivados; Bonos cupon cero.;
    All these keywords.

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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