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Derivados exóticos

Author

Listed:
  • Fernandez, Pablo

    (IESE Business School)

  • Ariño, Miguel A.

    (IESE Business School)

Abstract

En este documento de investigación se hace una descripción y clasificación de los derivados exóticos más utilizados. También se proporcionan fórmulas de valoración para muchos de ellos, así como análisis de sensibilidad de sus valores. Muchos de los análisis de sensibilidad proceden de consultas realizadas a entidades financieras y empresas que se han planteado la posibilidad de comprar o vender alguno de estos productos. Se analizan sólo derivados exóticos con una acción como subyacente. El análisis de derivados exóticos sobre divisas, renta fija o materias primas es totalmente análogo: las fórmulas de valoración que siguen también sirven; basta introducir el ajuste correspondiente a la tasa de interés de la moneda extranjera (divisas), cupones (renta fija) y los costes de almacenaje (materias primas).

Suggested Citation

  • Fernandez, Pablo & Ariño, Miguel A., 1996. "Derivados exóticos," IESE Research Papers D/308, IESE Business School.
    • Handle: RePEc:ebg:iesewp:d-0308
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    File URL: http://www.iese.edu/research/pdfs/DI-0308.pdf
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    References listed on IDEAS

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