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Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions

Author

Listed:
  • Contreras Piedragil, Cesar Emilio

    (Universidad Autónoma Benito Juárez de Oaxaca, Escuela de Economía)

  • Venegas Martínez, Francisco

    (Instituto Polítecnico Nacional, Escuela Superior de Economía)

Abstract

Este trabajo presenta una propuesta para valuar opciones con distribuciones a-estables en el dominio del espacio y del tiempo. La valuación toma como punto de partida la medida neutral al riesgo para distribuciones estables propuesta por McCulloch (2003). Posteriormente se recurre a diversos métodos numéricos que permiten aproximar las funciones de densidad y de distribución de variables aleatorias a-estables tal y como lo sugieren Nolan (2009) y Borak y Weron (2005) / This paper presents a proposal for valuing options with a-stable distributions in the domain of space and time. The valuation takes as its starting point the risk-neutral measure for stable distributions proposed by McCulloch (2003). Subsequently, various numerical methods useful to approximate the density and distribution functions of a-stable random variables, as suggested by Nolan (2009) and Borak and Weron (2005), are applied.

Suggested Citation

  • Contreras Piedragil, Cesar Emilio & Venegas Martínez, Francisco, 2011. "Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 1(1), pages 55-71, enero-jun.
    • Handle: RePEc:sfr:efruam:v:1:y:2011:i:1:p:55-71
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    More about this item

    Keywords

    Productos derivados; Análisis de riesgos / Derivatives; Risk Analysis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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