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...
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Formato: | Artículo (Article) |
Lenguaje: | Español (Spanish) |
Publicado: |
Facultad de Finanzas, Gobierno y Relaciones Internacionales
2017
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Acceso en línea: | https://revistas.uexternado.edu.co/index.php/odeon/article/view/5097 |
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. |
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