Valoración no lineal de derivados financieros en mercados con liquidez estocástica, descrita por un proceso de reversión a la media
Nonlinear valuation of financial derivatives in markets with stochastic liquidity described by a mean-reversion process
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En este documento se deduce la ecuación diferencial parcial no lineal de valoración de un derivado financiero, esto en el contexto de un mercado en el cual los precios de los activos son influenciados por la liquidez y las estrategias dinámicas de negociación de un gran operador. Para esto se caracteriza la dinámica del precio del activo subyacente y se considera la condición de ausencia de arbitraje. La liquidez del mercado es estocástica y sigue un proceso con reversión a la media tipo Ornstein-Uhlenbeck.
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