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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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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
id ojs-article-5097
recordtype ojs
spelling ojs-article-50972021-07-13T12:06:42Z Methodological proposal for pricing options over USD-COP exchange rate Propuesta metodológica para la valoración de opciones sobre tasa de cambio USD-COP Castañeda Acosta, Carlos Options pricing exchange rate stochastic processes valoración de opciones tipo de cambio procesos estocásticos 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. Se presenta una propuesta metodológica para resolver el problema de la valoración de opciones sobre tipo de cambio en el mercado colombiano. Se realiza una breve revisión de las características del mercado de tasa de cambio local, se discuten algunas metodologías de valoración, y se procede a aplicar estas metodologías como propuesta para la valoración de opciones europeas sobre tipo de cambio, describiendo algunos resultados que resultan deseables en el marco de las condiciones de mercado. Facultad de Finanzas, Gobierno y Relaciones Internacionales 2017-11-09 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf text/html https://revistas.uexternado.edu.co/index.php/odeon/article/view/5097 10.18601/17941113.n12.04 ODEON; Núm. 12 (2017): Enero-Junio; 77-117 2346-2140 1794-1113 spa /*ref*/Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics 3(1-2), 167-79. /*ref*/Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81(3) 637-54. /*ref*/Brigo, D., Dalessandro, A., Neugebauer, M. y Triki, F. (2008). A Stochastic Processes Toolkit for Risk Management. 1-43. /*ref*/Castagna, A. y Mercurio, F. (2006). Consistent pricing of fx options. /*ref*/Clavijo, S. (2001). El régimen de flotación cambiaria en Colombia. /*ref*/Garman, M. B. y Kohlhagen, S. W. (1983). Foreign currency option values. Journal of International Money and Finance 2(3), 231-37. /*ref*/Hull, J. (2012). Options, Futures and Other Derivatives (8 ed.). Toronto: Pearson. /*ref*/Kou, S. G. (2007). Jump-Diffusion models for asset pricing in financial engineering. Handbooks in Operations Research and Management Science 15(C), 73-116. /*ref*/Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics 4(1), 141-83. /*ref*/Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3(1-2), 125-44. /*ref*/Moreno, J. (2011). Estimación de parámetros en ecuaciones diferenciales estocásticas aplicadas a finanzas. odeon 6, 131-44. /*ref*/Samuelson, P. (1965). Rational Theory of Warrant Pricing. Industrial Management Review 6(2), 13-31. /*ref*/Samuelson, P. y Merton, R. C. (1969). A complete model of warrant pricing that maximizes utility. Industrial Management Review 10(2), 17-46. /*ref*/Villar, L. (1999). Política cambiaria en un proceso de ajuste ordenado. https://revistas.uexternado.edu.co/index.php/odeon/article/view/5097/6153 https://revistas.uexternado.edu.co/index.php/odeon/article/view/5097/6347 https://creativecommons.org/licenses/by-nc-nd/4.0/
institution Universidad Externado de Colombia
collection OJS
language Español (Spanish)
format Artículo (Article)
author Castañeda Acosta, Carlos
spellingShingle Castañeda Acosta, Carlos
Methodological proposal for pricing options over USD-COP exchange rate
author_facet Castañeda Acosta, Carlos
author_sort Castañeda Acosta, Carlos
title Methodological proposal for pricing options over USD-COP exchange rate
title_short Methodological proposal for pricing options over USD-COP exchange rate
title_full Methodological proposal for pricing options over USD-COP exchange rate
title_fullStr Methodological proposal for pricing options over USD-COP exchange rate
title_full_unstemmed Methodological proposal for pricing options over USD-COP exchange rate
title_sort methodological proposal for pricing options over usd-cop exchange rate
description 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.
publisher Facultad de Finanzas, Gobierno y Relaciones Internacionales
publishDate 2017
url https://revistas.uexternado.edu.co/index.php/odeon/article/view/5097
_version_ 1705337324896780288
score 12,111491

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