Modelos de tiempo continuo para commodities agrícolas En Colombia*
Keywords:
Derivados, acciones, commoditie, , teoría de Black-Scholes, modelo Merton, modelos de equilibrio, modelos de arbitrajeAbstract
Algunos llamados “expertos” hacen recomendaciones para aplicar modelos devaloración de derivados sobre acciones a derivados sobre commodities. Esta prácticadebería considerarse sólo como un primer paso, exploratorio en la búsqueda delvalor realmente “justo” del derivado.
En general, los precios de las commodities se comportan de una manera bastantediferente de los precios de las acciones. Esto se muestra, con este artículo, a travésde ejemplos del mercado agropecuario colombiano.
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