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...

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Autor Principal: Herrera Cardona, Luis Guillermo
Formato: info:eu-repo/semantics/article
Idioma: spa
Publicado: Universidad de San Buenaventura - Cali 2017
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Acceso en línea: 0123-5834
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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.