Artículos de revistas
Modelos de valoración de opciones sobre títulos de renta fija : aplicación al mercado colombiano
Herrera Cardona, Luis Guillermo
Cárdenas Giraldo, Darwin
This paper is to evaluate the applicability of the Vasicek (1977) model of interest rate for valuing call and put options on a fixed income Colombian security. For the development of this application are made, some econometric estimation with volatility and autoregressive processes, these are necessary to find the model input parameters. The progress of the model. Later on in the work finds that the model does not give satisfactory results for options on Colombian bonds due to the high value of premiums. However, by adjusting the model parameters based on empirical criteria consistent figures are obtained.