Methodological proposal for pricing options over USD-COP exchange rate

Carlos Castañeda Acosta

Resumen


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.


Palabras clave


Options pricing, exchange rate, stochastic processes.

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DOI: https://doi.org/10.18601/17941113.n12.04

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Publicado: 2017-11-09 12:38:49



Copyright (c) 2017 Carlos Castañeda Acosta

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Este obra está bajo una licencia de Creative Commons Reconocimiento-NoComercial 4.0 Internacional.