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...

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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
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees01/12/20072019-10-04T14:36:56Z01/12/20072019-10-04T14:36:56Z2256-43221692-0279http://hdl.handle.net/10784/14052We 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.Algunos llamados “expertos” hacen recomendaciones para aplicar modelos de valoración de derivados sobre acciones a derivados sobre commodities. Esta práctica debería considerarse sólo como un primer paso, exploratorio en la búsqueda del valor realmente “justo” del derivado. En general, los precios de las commodities se comportan de una manera bastante diferente de los precios de las acciones. Esto se muestra, con este artículo, a través de ejemplos del mercado agropecuario colombiano.text/htmlspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/administer/article/view/565http://publicaciones.eafit.edu.co/index.php/administer/article/view/565Copyright © 2007 Ulises Cárcamo Cárcamo, Javier Arbeláez LópezAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITAD-minister: No 11 (2007)Modelos de tiempo continuo para commodities agrícolas En Colombia*articleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1DerivativesStocksCommoditiesBlack-Scholes TheoryMerton ModelEquilibrium ModelsArbitration ModelsDerivadosaccionescommoditieteoría de Black-Scholesmodelo Mertonmodelos de equilibriomodelos de arbitrajeUlises Cárcamo CárcamoJavier Arbeláez LópezUniversidad EAFITAD-minister114263THUMBNAILminiatura-administer.jpgminiatura-administer.jpgimage/jpeg8755https://repository.eafit.edu.co/bitstreams/b8039302-a8a8-4262-b352-98b618f8d19c/download87c28d32b620f3408b1c70a3c505fbd8MD51ORIGINALModelos de tiempo continuo para commodities agrícolas En Colombia.pdfModelos de tiempo continuo para commodities agrícolas En Colombia.pdfTexto completo PDFapplication/pdf1236654https://repository.eafit.edu.co/bitstreams/2aaaec4b-5880-4f61-80ad-922b4e26ff6d/downloadd73d618d3f5f099e39ae4d9b119256e8MD52articulo.htmlarticulo.htmlTexto completo HTMLtext/html373https://repository.eafit.edu.co/bitstreams/077c141d-c0ae-4145-8fad-c401bb2547bd/downloadb5dc93f385cf941625bd6c411f2bcb03MD5310784/14052oai:repository.eafit.edu.co:10784/140522019-11-28 10:52:43.746open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.spa.fl_str_mv Modelos de tiempo continuo para commodities agrícolas En Colombia*
title Modelos de tiempo continuo para commodities agrícolas En Colombia*
spellingShingle Modelos de tiempo continuo para commodities agrícolas En Colombia*
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
title_short Modelos de tiempo continuo para commodities agrícolas En Colombia*
title_full Modelos de tiempo continuo para commodities agrícolas En Colombia*
title_fullStr Modelos de tiempo continuo para commodities agrícolas En Colombia*
title_full_unstemmed Modelos de tiempo continuo para commodities agrícolas En Colombia*
title_sort Modelos de tiempo continuo para commodities agrícolas En Colombia*
dc.creator.fl_str_mv Ulises Cárcamo Cárcamo
Javier Arbeláez López
dc.contributor.author.spa.fl_str_mv Ulises Cárcamo Cárcamo
Javier Arbeláez López
dc.contributor.affiliation.spa.fl_str_mv Universidad EAFIT
dc.subject.keyword.eng.fl_str_mv Derivatives
Stocks
Commodities
Black-Scholes Theory
Merton Model
Equilibrium Models
Arbitration Models
topic 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
dc.subject.keyword.spa.fl_str_mv Derivados
acciones
commoditie
teoría de Black-Scholes
modelo Merton
modelos de equilibrio
modelos de arbitraje
description 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.
publishDate 2019
dc.date.issued.none.fl_str_mv 01/12/2007
dc.date.available.none.fl_str_mv 2019-10-04T14:36:56Z
dc.date.accessioned.none.fl_str_mv 2019-10-04T14:36:56Z
dc.date.none.fl_str_mv 01/12/2007
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
publishedVersion
info:eu-repo/semantics/publishedVersion
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dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 2256-4322
1692-0279
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/14052
identifier_str_mv 2256-4322
1692-0279
url http://hdl.handle.net/10784/14052
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/565
dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/565
dc.rights.eng.fl_str_mv Copyright © 2007 Ulises Cárcamo Cárcamo, Javier Arbeláez López
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Copyright © 2007 Ulises Cárcamo Cárcamo, Javier Arbeláez López
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv text/html
dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.spa.fl_str_mv AD-minister: No 11 (2007)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
collection Repositorio Institucional Universidad EAFIT
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