Modelos de tiempo continuo para commodities agrícolas En Colombia*
We have heard recommendations from so called “experts” suggesting the application of models to value derivatives on stocks, such as the classical Black-Scholes, to value derivatives on commodities. This practice should only be considered as a first (exploratory) step in the search for the really “fa...
- Autores:
-
Ulises Cárcamo Cárcamo
Javier Arbeláez López
- Tipo de recurso:
- Fecha de publicación:
- 2019
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/14052
- Acceso en línea:
- http://hdl.handle.net/10784/14052
- Palabra clave:
- Derivatives
Stocks
Commodities
Black-Scholes Theory
Merton Model
Equilibrium Models
Arbitration Models
Derivados
acciones
commoditie
teoría de Black-Scholes
modelo Merton
modelos de equilibrio
modelos de arbitraje
- Rights
- License
- Copyright © 2007 Ulises Cárcamo Cárcamo, Javier Arbeláez López
| Summary: | We have heard recommendations from so called “experts” suggesting the application of models to value derivatives on stocks, such as the classical Black-Scholes, to value derivatives on commodities. This practice should only be considered as a first (exploratory) step in the search for the really “fair” value. Usually, commodity prices behave quite differently from stock prices, shown here through examples from the Colombian agricultural and livestock market. |
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