Valoración de opciones dependientes de trayectoria usando la transformada de Mellin

Diego Ismael León Nieto

Resumen


En muchos casos no existe, o es muy difícil, encontrar una solución analítica para la valoración de opciones con perfiles de pago complejos. Con tal motivación se presenta un marco general para la valoración de opciones dependientes de trayectoria, y los casos más relevantes como opciones asiáticas y opciones lookback. Dicho análisis está soportado en la deducción de la ecuación diferencial parcial Black-Scholes para el caso general y los casos específicos. Posteriormente se abordará la aplicación de la transformada de Mellin a la valoración de opciones dependientes de trayectoria. Se encuentra que este método tiene un gran potencial por desarrollar, sencillo y fácil de implementar, porque reduce el problema de valoración bajo la perspectiva de la ecuación diferencial parcial de Black-Scholes a la solución numérica de una integral.


Palabras clave


opciones; valoración; transformadas integrales

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DOI: https://doi.org/10.18601/17941113.n10.06

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Publicado: 2016-10-06 10:14:00



Copyright (c) 2016 Diego Ismael León Nieto

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