Variables del modelo BSM en el mercado colombiano

The option pricing model performed by Black-Scholes-Merton has become the most important and studied worldwide, which is why it has become the benchmark and the most used when making a quote and subsequent closure of the currency market. On the other hand, is known to the operators that model variab...

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Autores:: García, Gustavo

Tipo de recurso:: Article of investigation

Fecha de publicación:: 2012

Institución:: Universidad Sergio Arboleda

Repositorio:: Repositorio U. Sergio Arboleda

Idioma:: spa

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dc.title.spa.fl_str_mv	Variables del modelo BSM en el mercado colombiano
dc.title.translated.eng.fl_str_mv	Variables of the model BSM on the Colombian market
title	Variables del modelo BSM en el mercado colombiano
spellingShingle	Variables del modelo BSM en el mercado colombiano Modelo de valoración de derivados financieros Modelo de Black Scholes Merton Derivados financieros Opciones (Finanzas) Inversiones Tasas de interes Mercado colombiano opciones options Colombian market interest rates forwards
title_short	Variables del modelo BSM en el mercado colombiano
title_full	Variables del modelo BSM en el mercado colombiano
title_fullStr	Variables del modelo BSM en el mercado colombiano
title_full_unstemmed	Variables del modelo BSM en el mercado colombiano
title_sort	Variables del modelo BSM en el mercado colombiano
dc.creator.fl_str_mv	García, Gustavo
dc.contributor.author.spa.fl_str_mv	García, Gustavo
dc.subject.lemb.spa.fl_str_mv	Modelo de valoración de derivados financieros Modelo de Black Scholes Merton Derivados financieros Opciones (Finanzas) Inversiones Tasas de interes Mercado colombiano
topic	Modelo de valoración de derivados financieros Modelo de Black Scholes Merton Derivados financieros Opciones (Finanzas) Inversiones Tasas de interes Mercado colombiano opciones options Colombian market interest rates forwards
dc.subject.proposal.spa.fl_str_mv	opciones
dc.subject.proposal.eng.fl_str_mv	options Colombian market interest rates forwards
description	The option pricing model performed by Black-Scholes-Merton has become the most important and studied worldwide, which is why it has become the benchmark and the most used when making a quote and subsequent closure of the currency market. On the other hand, is known to the operators that model variables are quite rigid, as they are called that only would occur in an environment in which there were no price gaps presented by the illiquidity of currencies during certain periods 24 hours a day or that may be determined in advance as volatility or interest rates in the evolution of a currency against another. In this paper I intend to show that in markets like Colombia are situations in which evidence of the importance of not underestimating any variable.
publishDate	2012
dc.date.accessioned.spa.fl_str_mv	2015-06-09T14:48:30Z 2016-05-11T14:15:28Z 2017-05-16T19:22:37Z
dc.date.available.spa.fl_str_mv	2015-06-09T14:48:30Z 2016-05-11T14:15:28Z 2017-05-16T19:22:37Z
dc.date.spa.fl_str_mv	2012
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dc.type.local.spa.fl_str_mv	Artículo de revista
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dc.identifier.issn.spa.fl_str_mv	2145-6194
dc.identifier.instname.spa.fl_str_mv	instname:Universidad Sergio Arboleda
dc.identifier.reponame.spa.fl_str_mv	reponame:Repositorio Institucional Universidad Sergio Arboleda
dc.identifier.repourl.*.fl_str_mv	repourl:https://repository.usergioarboleda.edu.co/
dc.identifier.url.eng.fl_str_mv	http://hdl.handle.net/11232/170
identifier_str_mv	2145-6194 instname:Universidad Sergio Arboleda reponame:Repositorio Institucional Universidad Sergio Arboleda repourl:https://repository.usergioarboleda.edu.co/
url	http://hdl.handle.net/11232/170
dc.language.iso.spa.fl_str_mv	spa
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dc.relation.ispartof.spa.fl_str_mv	Revista Civilizar de Empresa y Economía; vol. 3, núm. 6 ( 2012)
dc.relation.references.spa.fl_str_mv	García, G. (2012). Variables del modelo BSM en el mercado colombiano. Civilizar de Empresa y Economía. 3 (6), 96-106. Banco de la República: Circulares Reglamentarias DODM-139 y DODM 285 de 2008. Banco de la República (Junta Directiva): Resoluciones Externas Nos. l y 7 de 2009, 3, 7 y 13 de 2008 l 2 y 4 de 2007. Banco de la República (2012), Series estadísticas. Tasas de interés. Indicador bancario de referencia (IBR); CONSULTADO en: http://www.banrep.gov.co/series-estadisticas/see_tas_inter_ibr.htm Bloomberg: Códigos OVDV.OVML, HDV, TRM INDEX, USDCOP CURRENCY, USDCOPVIM Yy otros (2012) British Bankers´ Association, consultado en: http://www.bba.uk/about-us Hull J. C. 1997. Options, Futures & Other Derivatives. Prentice Hall. Merton R.C. 1976. "Theory of Rational Option Pricing. "Bell Journal of Financial Economics, Vol. 4. Natenberg S. 1994. Trading Volatility with Options. McGraw Hill
dc.relation.references.none.fl_str_mv	Arregui G. 2004. "The implicit models of the option valuation. "Revista Cuadernos de Gestión. Baxter M.& E, Rennie. 1992. Financial Calculus. Cambridge University Press.
dc.relation.references.eng.fl_str_mv	Black F.& M. Scholes. 1973. "the Pricing of Options and Corporate Liabilities . "The Journal of Political Economy, Vol, 81. Black, F. 1976. "The pricing of commodity contracts. "Journal of Financial Economics, 3. Garman, M.B. and Steven W. Kohlhagen (1983). "Foreign currency option values."Journal of International Money and Finance, 2. Hull J. C. & A. White. 1987. "The Pricing of Options on Assets with Stochastic Volatilities. " Journal of Finance, Vol 42, Issue 2. London Financial Studies. 2011. Advance option trading and risk management with simple options. Singh J.P. and S. Prabakaran, 2006, "A Toy Model of Financial Markets. " Electronic Journal of Theoretical Physics. 3, No. ll. Taleb, N. 1996. Dynamic Hedging. John Wiley & Sons. Vasicek, Oldrich. 1977. "An Equilibrium Characterisatión of the Term Structure ".Journal of Financial Economics 5 (2). Venegas, F. 2008. Riesgos Financieros y Económicos. Cengage Learning Editores. Wilmott, P. 2000 Quantitative Finance. John Wiley, Chichester.
dc.relation.ispartofjournal.spa.fl_str_mv	Civilizar Empresa y Economía
dc.relation.citationvolumen.spa.fl_str_mv	3
dc.relation.citationissue.spa.fl_str_mv	6
dc.relation.citationstartpage.spa.fl_str_mv	96
dc.relation.citationendpage.spa.fl_str_mv	104
dc.rights.license.*.fl_str_mv	Atribución-NoComercial-SinDerivadas 2.5 Colombia (CC BY-NC-ND 2.5 CO)
dc.rights.uri.*.fl_str_mv	http://creativecommons.org/licenses/by-nc-nd/2.5/co/
dc.rights.acceso.spa.fl_str_mv	Abierto (Texto Completo)
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rights_invalid_str_mv	Atribución-NoComercial-SinDerivadas 2.5 Colombia (CC BY-NC-ND 2.5 CO) http://creativecommons.org/licenses/by-nc-nd/2.5/co/ Abierto (Texto Completo) http://purl.org/coar/access_right/c_abf2
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dc.publisher.spa.fl_str_mv	Bogotá : Universidad Sergio Arboleda
institution	Universidad Sergio Arboleda
bitstream.url.fl_str_mv	https://repository.usergioarboleda.edu.co/bitstream/11232/170/1/Variables%20del%20modelo%20BSM%20en%20el%20mercado%20colombiano.html https://repository.usergioarboleda.edu.co/bitstream/11232/170/2/Variables%20del%20modelo%20BSM%20en%20el%20mercado%20colombiano.html.txt
bitstream.checksum.fl_str_mv	18a1729b8562275fefb8443f806079fb 40ea728eed9f2fbf047725e423051ed6
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repository.name.fl_str_mv	Repositorio Institucional Universidad Sergio Arboleda
repository.mail.fl_str_mv	dspace-help@myu.edu
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spelling	Atribución-NoComercial-SinDerivadas 2.5 Colombia (CC BY-NC-ND 2.5 CO)http://creativecommons.org/licenses/by-nc-nd/2.5/co/Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2García, Gustavo20122015-06-09T14:48:30Z2016-05-11T14:15:28Z2017-05-16T19:22:37Z2015-06-09T14:48:30Z2016-05-11T14:15:28Z2017-05-16T19:22:37Z2145-6194instname:Universidad Sergio Arboledareponame:Repositorio Institucional Universidad Sergio Arboledarepourl:https://repository.usergioarboleda.edu.co/http://hdl.handle.net/11232/170The option pricing model performed by Black-Scholes-Merton has become the most important and studied worldwide, which is why it has become the benchmark and the most used when making a quote and subsequent closure of the currency market. On the other hand, is known to the operators that model variables are quite rigid, as they are called that only would occur in an environment in which there were no price gaps presented by the illiquidity of currencies during certain periods 24 hours a day or that may be determined in advance as volatility or interest rates in the evolution of a currency against another. In this paper I intend to show that in markets like Colombia are situations in which evidence of the importance of not underestimating any variable.El modelo de valoración de opciones realizado por Black-Scholes-Merton se ha convertido en el más relevante y estudiado a nivel mundial; por este motivo se ha transformado en el referente y el más usado a la hora de realizar una cotización y posterior cierre en el mercado de divisas. Por otro lado, es conocido por los operadores que las variables del modelo son bastante rígidas, ya que son supuestos que solo se darían en un ambiente en el que no existieran los vacíos de precios que se presentan por la iliquidez de las monedas durante ciertos periodos de las 24 horas del día o que se pudieran determinar con anticipación como la volatilidad o las tasas de interés en la evolución de una moneda frente a otra. En este trabajo pretendo mostrar que en mercados como el colombiano se presentan situaciones en las que se evidencia la importancia de no subestimar ninguna variable.11Digitalapplication/pdfdocumentosspaBogotá : Universidad Sergio ArboledaRevista Civilizar de Empresa y Economía; vol. 3, núm. 6 ( 2012)García, G. (2012). Variables del modelo BSM en el mercado colombiano. Civilizar de Empresa y Economía. 3 (6), 96-106.Banco de la República: Circulares Reglamentarias DODM-139 y DODM 285 de 2008.Banco de la República (Junta Directiva): Resoluciones Externas Nos. l y 7 de 2009, 3, 7 y 13 de 2008 l 2 y 4 de 2007.Banco de la República (2012), Series estadísticas. Tasas de interés. Indicador bancario de referencia (IBR); CONSULTADO en: http://www.banrep.gov.co/series-estadisticas/see_tas_inter_ibr.htmBloomberg: Códigos OVDV.OVML, HDV, TRM INDEX, USDCOP CURRENCY, USDCOPVIM Yy otros (2012)British Bankers´ Association, consultado en: http://www.bba.uk/about-usHull J. C. 1997. Options, Futures & Other Derivatives. Prentice Hall.Merton R.C. 1976. "Theory of Rational Option Pricing. "Bell Journal of Financial Economics, Vol. 4.Natenberg S. 1994. Trading Volatility with Options. McGraw HillArregui G. 2004. "The implicit models of the option valuation. "Revista Cuadernos de Gestión.Baxter M.& E, Rennie. 1992. Financial Calculus. Cambridge University Press.Black F.& M. Scholes. 1973. "the Pricing of Options and Corporate Liabilities . "The Journal of Political Economy, Vol, 81.Black, F. 1976. "The pricing of commodity contracts. "Journal of Financial Economics, 3.Garman, M.B. and Steven W. Kohlhagen (1983). "Foreign currency option values."Journal of International Money and Finance, 2.Hull J. C. & A. White. 1987. "The Pricing of Options on Assets with Stochastic Volatilities. " Journal of Finance, Vol 42, Issue 2.London Financial Studies. 2011. Advance option trading and risk management with simple options.Singh J.P. and S. Prabakaran, 2006, "A Toy Model of Financial Markets. " Electronic Journal of Theoretical Physics. 3, No. ll.Taleb, N. 1996. Dynamic Hedging. John Wiley & Sons.Vasicek, Oldrich. 1977. "An Equilibrium Characterisatión of the Term Structure ".Journal of Financial Economics 5 (2).Venegas, F. 2008. Riesgos Financieros y Económicos. Cengage Learning Editores.Wilmott, P. 2000 Quantitative Finance. John Wiley, Chichester.Civilizar Empresa y Economía3696104Variables del modelo BSM en el mercado colombianoVariables of the model BSM on the Colombian marketModelo de valoración de derivados financierosModelo de Black Scholes MertonDerivados financierosOpciones (Finanzas)InversionesTasas de interesMercado colombianoopcionesoptionsColombian marketinterest ratesforwardshttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/redcol/resource_type/ARTArtículo de revistaORIGINALVariables del modelo BSM en el mercado colombiano.htmltext/html237https://repository.usergioarboleda.edu.co/bitstream/11232/170/1/Variables%20del%20modelo%20BSM%20en%20el%20mercado%20colombiano.html18a1729b8562275fefb8443f806079fbMD51open accessTEXTVariables del modelo BSM en el mercado colombiano.html.txtVariables del modelo BSM en el mercado colombiano.html.txtExtracted texttext/plain38https://repository.usergioarboleda.edu.co/bitstream/11232/170/2/Variables%20del%20modelo%20BSM%20en%20el%20mercado%20colombiano.html.txt40ea728eed9f2fbf047725e423051ed6MD52open access11232/170oai:repository.usergioarboleda.edu.co:11232/1702022-06-09 19:07:38.906open accessRepositorio Institucional Universidad Sergio Arboledadspace-help@myu.edu

Variables del modelo BSM en el mercado colombiano

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