Modelo Black-76: ajuste al modelo inicial de Black-Scholes (1973) para valorar opciones sobre instrumentos de renta fija
This paper presents the transformation that must have the Black- Scholes model (1973) to fit a valuation methodology of options on fixed income securities known as Black-76 (1976). To derive the formulation, it is a brief introduction to the theory of options, then it is exposed the Black-Scholes mo...
Autor Principal: | Herrera Cardona, Luis Guillermo |
---|---|
Formato: | info:eu-repo/semantics/article |
Idioma: | spa |
Publicado: |
Universidad de San Buenaventura - Cali
2017
|
Materias: | |
Acceso en línea: |
0123-5834 |
Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Sumario: |
This paper presents the transformation that must have the Black- Scholes model (1973) to fit a valuation methodology of options on fixed income securities known as Black-76 (1976). To derive the formulation, it is a brief introduction to the theory of options, then it is exposed the Black-Scholes model and finally conventional variants are explained. The text also mentions the characteristics of the generic model, its assumptions and its significance and shows some examples. |
---|