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...