Methodological proposal for pricing options over USD-COP exchange rate

We present a methodological proposal to solve the problem of the options pricing over exchange rate in the Colombian market. We perform a brief review of the characteristics of local exchange market, discuss some valuation methodologies, and proceed to apply these methodologies as a proposal for the...

Descripción completa

Detalles Bibliográficos
Autor Principal: Castañeda Acosta, Carlos
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Facultad de Finanzas, Gobierno y Relaciones Internacionales 2017
Acceso en línea:https://revistas.uexternado.edu.co/index.php/odeon/article/view/5097
Descripción
Sumario:We present a methodological proposal to solve the problem of the options pricing over exchange rate in the Colombian market. We perform a brief review of the characteristics of local exchange market, discuss some valuation methodologies, and proceed to apply these methodologies as a proposal for the valuation of European options on exchange rate, describing some results that are disables in the framework of market conditions.