Examinando por Materia "PRODUCTOS AGRICOLAS - COMERCIO - COLOMBIA"

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    Ítem
    Valoración de opciones para el mercado agropecuario colombiano, el modelo de Heston-Nandi como alternativa
    (Universidad EAFIT, 2007) Causil García, Catalina; Cárcamo Cárcamo, Ulises
    There are random factors in the process leading to commodities’ price formation. Such factors are manifest in the behavior of volatility. Volatility is a source of uncertainty for any market. Options on commodities are a valuable instrument to diminish risk associated with volatility. The Heston-Nandi model seems to be helpful in the valuation of derivatives on agricultural commodities. In this project the model’s properties are explored and an algorithm to estimate the associated parameters is developed. For a completely useful development of this model the actual trading of the derivatives is needed.