Metodologías alternativas para la valoración de opciones americanas sobre TRM
Ramírez Posada, Luisa Fernanda
Magíster en Finanzas
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This study explores some methods different from the traditional binomial (Cox, Ross, and Rubinstein, 1979) for American Options valuation aiming to identifying an appropriate method when the underlying asset is the exchange rate of the US Dollar to the Colombian Peso known as TRM (Representative Exchange Rate). We confirm the good performance and flexibility of the Monte Carlo method which translates into an adequate alternative for valuing these derivatives. Additionally, this method allows us to use the actual stochastic process of the underlying asset avoiding assumptions on its dynamics, e.g. lognormality. By doing this, we obtain a better estimation for options when early exercise is allowed which is in agreement with the true behavior of the asset.