Valoración de opciones tipo Lookback : una aplicación a la tasa de cambio
Maya Ochoa, Cecilia Inés
Rodríguez Mejía, Jorge Andrés
Magíster en Finanzas
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The development of instruments for hedging risks known as derivatives has been vertiginous in the last two decades. One of the most dynamic is the group of exotic options, that is to say, those that do not adjust to the conditions of the traditional European or American options. This study focuses on the valuation of Lookback options, and presents the current analytical and numerical methods used for this purpose. Its application to the case of options on the exchange rate is discussed and the study concludes that the use of the Montecarlo method where the underlying asset follows a process of stochastic volatility like the one proposed by Heston (1993) is much more suitable for this case. The flexibility which characterizes this method is necessary for the valuation of exotic options which are path dependent. This method also allows us to model the underlying asset following different stochastic processes when lognormality is rejected.