Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración

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Autores

Carlos Andrés Zapata Quimbayo

Resumen

Este trabajo identifica las principales contribuciones de Stephen Ross a la definición de los principios básicos del teorema fundamental de valoración de activos (TFVA), así como sus aplicaciones y extensiones. Al establecer la equivalencia entre la ausencia de arbitraje y la existencia de una regla de valoración lineal de activos, Ross formula los principios básicos de un enfoque de valoración que conserva las características esenciales del modelo de Black-Scholes-Merton, pero desde un enfoque más simple e intuitivo.

JEL:

arbitraje
valoración de activos
medida martingala equivalente.

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Referencias

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