Dinámica de precios y valoración de activos contingentes en mercados con riesgo de liquidez

dc.creatorMoreno Trujillo, John Freddy
dc.date.accessioned2021-06-08 14:39:06
dc.date.accessioned2022-09-08T13:42:38Z
dc.date.available2021-06-08 14:39:06
dc.date.available2022-09-08T13:42:38Z
dc.date.created2021-06-08 14:39:06
dc.date.created2022-09-08T13:42:38Z
dc.date.issued2021-06-08
dc.identifier10.18601/17941113.n19.06
dc.identifier2346-2140
dc.identifier1794-1113
dc.identifierhttps://bdigital.uexternado.edu.co/handle/001/7910
dc.identifierhttps://doi.org/10.18601/17941113.n19.06
dc.description.abstractSe consideran modelos de mercado en donde se incorpora un factor de liquidez asociado a la dinámica de los precios y a las estrategias de negociación de los agentes. Se estudia el caso en el cual el factor de liquidez es una función determinística del precio y otro en donde este factor es estocástico descrito por un proceso Cox-Ingersoll-Ross. Se consideran diferentes tipos de estrategias de negociación y se establecen de forma explícita las ecuaciones diferenciales estocásticas para la dinámica de los precios, así como las ecuaciones diferenciales parciales no lineales de valoración de activos contingentes correspondientes.
dc.description.abstractMarket models are considered in which a liquidity factor associated with price dynamics and the agents’ trading strategies is incorporated. The case is stud-ied in which the liquidity factor is a deterministic function of the price and another in which this factor is stochastic described by a Cox-Ingersoll-Ross process. Different types of trading strategies are considered and the stochastic differential equations for price dynamics as well as the corresponding non-linear partial differential equations for the valuation of contingent assets are explicitly established
dc.languagespa
dc.publisherFacultad de Finanzas, Gobierno y Relaciones Internacionales
dc.relationhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/7234/10372
dc.relationhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/7234/10373
dc.relationNúm. 19 , Año 2020 : Julio-Diciembre
dc.relation180
dc.relation19
dc.relation153
dc.relationOdeon
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dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttp://purl.org/coar/access_right/c_abf2
dc.rightsEsta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
dc.rightshttp://creativecommons.org/licenses/by-nc-sa/4.0
dc.rightsJohn Freddy Moreno Trujillo - 2021
dc.sourcehttps://revistas.uexternado.edu.co/index.php/odeon/article/view/7234
dc.subjectLiquidity factor;
dc.subjectstochastic liquidity;
dc.subjectprice dynamics;
dc.subjectnon-linear valuation equation.
dc.subjectfactor de liquidez;
dc.subjectliquidez estocástica;
dc.subjectdinámica de precios;
dc.subjectecuación de valoración no lineal
dc.titleDinámica de precios y valoración de activos contingentes en mercados con riesgo de liquidez
dc.typeArtículo de revista


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